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- W2377843406 abstract "Based on high-frequency transaction data from stocks of Shanghai Stock Exchange 180 Index, this paper calculates the stocks' implicit transaction cost and discusses the relationship between asset pricing and implicit transaction cost. Several conclusions are drawn as follows: (1) There are apparent linear negative relationship among implicit transaction cost, size of equity and returns, and implicit transaction cost influences stock returns from cost of liquidity depth during the decreasing period of returns. (2) The size of equity and turnover rate have more effect on asset returns than implicit transaction cost, it is probably because both of the two variables have prominent relationship with cost of liquidity depth. (3) The negative relationship between implicit transaction cost and size of equity is linear, while the segmental negative relationship is concave or convex." @default.
- W2377843406 created "2016-06-24" @default.
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- W2377843406 date "2007-01-01" @default.
- W2377843406 modified "2023-09-23" @default.
- W2377843406 title "Implicit Transaction Cost and Asset Pricing: Evidence Based on Transaction Data of Stocks Index from Shanghai Stock Exchange 180 Index" @default.
- W2377843406 hasPublicationYear "2007" @default.
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