Predictability And Transaction Costs : The Impact on Rebalancing Rules And Behaviour  

Oleh:

Lynch, Anthony W. ; Balduzzi, Pierluigi

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 55 no. 5 (2000), page 2285-2310.
Topik: transaction cost; studies; predictions; investment policy; securities trading; statistical analysis
Fulltext: p 2285.pdf (389.68KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.3 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Recent papers show that predictability calibrated to U. S. data has a large effect on the rebalancing behaviour of a multiperiod investor. We find that this continues to be true in the presence of realistic transaction costs. In particular, predictability causes the no - trade region for the risky - asset holding to become state dependene and on average, wider and higher. Predictability also motivates the investor to spend considerably more on rebalancing and to rebalance more often. In other results, we find that introducing costly liquidation of the risky asset for consumption lowers the average allocatio into the risky asset, through only marginally early in life. Our experiments also vary the nature of the return predictability and introduce return heteroskedasticity.

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