Estimating asset pricing models with frictions
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DOI: 10.1016/j.econlet.2017.02.016
Abstract: We jointly quantify the magnitude of risk aversion and transactions costs implied by asset pricing models with trading frictions. With constant relative risk aversion and symmetric transactions costs, estimated transactions costs on Treasury bills are… read more here.
Keywords: pricing models; transactions costs; asset pricing; risk aversion ... See more keywords