Liquidity Clienteles : Transaction Costs and Investment Decisions of Individual Investors

Theoretical papers link the liquidity premium to the optimal trading decisions of investors facing transaction costs. In particular, investors' holding periods determine how transaction costs are amortized and priced in asset returns. Using a...

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Bibliographic Details
Main Author:	Anginer, Deniz
Format:	Policy Research Working Paper
Language:	English
Published:	2012
Subjects:	ACCOUNTING ADVERSE EFFECTS ADVERSE SELECTION AGGREGATE MARKET AMOUNT OF CAPITAL ASSET PRICES ASSET PRICING ASSET RETURNS ASYMMETRIC INFORMATION BASIS POINTS BENCHMARKS BID BOOK VALUE BOOK-TO-MARKET BPS BROKERAGE BROKERAGE HOUSE CAPITAL MARKET CHECKS CLOSING PRICE CLOSING PRICES COMMON MARKET COMMON STOCK COMMON STOCKS CONSUMER FINANCES DECISION MAKING DEMOGRAPHIC DISCOUNT BROKERAGE DIVERSIFIED PORTFOLIOS DUMMY VARIABLE DUMMY VARIABLES ECONOMIC THEORY EFFICIENT MARKET EQUILIBRIUM EQUITIES EQUITY INVESTMENTS EQUITY MARKETS EQUITY PORTFOLIO EXCESS RETURN EXCESS RETURNS EXTERNAL INVESTORS FINANCES FINANCIAL MARKETS FINANCIAL SECURITIES FINANCIAL SERVICES FINANCIAL STUDIES FOREIGN ASSET FOREIGN MUTUAL FUNDS FOREIGN STOCKS GDP GROUP OF INVESTORS GROUPS OF INVESTORS HOLDING HOLDING PERIOD HOLDING PERIODS HOLDINGS HOUSEHOLD INCOME ILLIQUID ASSETS ILLIQUID SECURITIES ILLIQUID SECURITY ILLIQUIDITY INCOME SHOCKS INCOMES INDIVIDUAL INVESTOR INDIVIDUAL INVESTORS INDIVIDUAL SECURITIES INSTITUTIONAL INVESTORS INTEREST RATE INTERNATIONAL BANK INVENTORIES INVENTORY INVESTING INVESTMENT ADVISORS INVESTMENT DECISIONS INVESTMENT HORIZONS INVESTMENT OPPORTUNITIES INVESTMENT PERFORMANCE INVESTMENT POLICIES INVESTOR BEHAVIOR INVESTOR HOLDING INVESTOR LOSSES INVESTOR RATIONALITY INVESTOR SENTIMENT INVESTOR WELFARE LARGE CAP LARGE CAP STOCK LIQUID ASSETS LIQUID STOCKS LIQUIDITY LIQUIDITY PREMIUM LIQUIDITY RISK LONG-TERM INVESTORS MARGINAL UTILITY MARKET CAPITALIZATION MARKET EQUILIBRIUM MARKET LEVEL MARKET LIQUIDITY MARKET MAKER MARKET MAKERS MARKET MOVEMENTS MARKET PARTICIPANTS MARKET PORTFOLIO MARKET RETURN MARKET SUPPLY MARKET VOLATILITY MUTUAL FUND MUTUAL FUND FLOWS MUTUAL FUND PERFORMANCE MUTUAL FUNDS NET RETURN NET RETURNS NOISE TRADERS NUMBER OF INVESTOR NUMBER OF INVESTORS NUMBER OF SHARES ORDER FLOW ORDER FLOWS POLITICAL ECONOMY PORTFOLIO PORTFOLIO DIVERSIFICATION PORTFOLIO PERFORMANCE PORTFOLIO POSITIONS PORTFOLIOS POSITIVE ABNORMAL RETURNS PREDICTABILITY PREVIOUS STUDIES PRICE FLUCTUATIONS PRIVATE SECTOR DEVELOPMENT PUBLIC POLICY PURCHASE PRICE PURCHASING RATE OF RETURN RAW RETURNS RETAIL RETAIL INVESTOR RETAIL INVESTORS RETURN RETURNS RISK EXPOSURE RISK NEUTRAL ROBUSTNESS CHECKS SALE SALES SECURITIES TRANSACTION SECURITIES TRANSACTIONS SECURITY HOLDINGS SECURITY PRICES SHORT-TERM RETURNS SHORT-TERM TRADING SOPHISTICATED INVESTORS SPREAD STOCK CHARACTERISTICS STOCK HOLDINGS STOCK MARKET STOCK PRICE STOCK RETURNS STOCKS SUPPLIERS TAX TAX POLICY TERM STRUCTURE OF INTEREST RATES TIME HORIZON TRADES TRADING TRADING ACTIVITY TRADING COSTS TRADING DAY TRADING DAYS TRADING VOLUME TRANSACTION TRANSACTION COST TRANSACTION COSTS TRANSACTION PRICE TRANSACTIONS COSTS TURNOVER UNSOPHISTICATED INVESTOR VOLATILITY WEALTH
Online Access:	http://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20100526133302 http://hdl.handle.net/10986/3803