Noise Trading, Transaction Costs, and the Relationship of Stock Returns and Trading Volume

Noise Trading, Transaction Costs, and the Relationship of Stock Returns and Trading Volume
The relationship of stock returns and trading volume is the focus of much recent interest. I examine an economic model of a rational trader who operates in a market with transactions costs and noise trading. The level of trading affects the rational trader's marginal cost of transacting; as a result, trading volume is a source of risk. This... READ MORE...

Publication date: October 1994
ISBN 9781451854879
$15.00

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