A Transaction-Cost Perspective on the Multitude of Firm Characteristics

被引:75
作者
DeMiguel, Victor [1 ]
Martin-Utrera, Alberto [2 ]
Nogales, Francisco J. [3 ]
Uppal, Raman [4 ,5 ]
机构
[1] London Business Sch, 26 Sussex Pl, London NW1 4SA, England
[2] New Jersey Inst Technol, Newark, NJ 07102 USA
[3] Univ Carlos III Madrid, Getafe, Spain
[4] EDHEC Business Sch, EDHEC Sci Beta Res Chair, Lille, France
[5] CEPR, Washington, DC USA
关键词
CROSS-SECTION; INFORMATION; ANOMALIES; PERFORMANCE; RETURNS; ROBUST;
D O I
10.1093/rfs/hhz085
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We investigate how transaction costs change the number of characteristics that are jointly significant for an investor's optimal portfolio and, hence, how they change the dimension of the cross-section of stock returns. We find that transaction costs increase the number of significant characteristics from 6 to 15. The explanation is that, as we show theoretically and empirically, combining characteristics reduces transaction costs because the trades in the underlying stocks required to rebalance different characteristics often cancel out. Thus, transaction costs provide an economic rationale for considering a larger number of characteristics than that in prominent asset-pricing models.
引用
收藏
页码:2180 / 2222
页数:43
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