A Transaction-Cost Perspective on the Multitude of Firm Characteristics

• 成果类型: Article
• 署名作者: DeMiguel, Victor; Martin-Utrera, Alberto; Nogales, Francisco J.; Uppal, Raman
• 署名单位: University of London; London Business School; New Jersey Institute of Technology; Universidad Carlos III de Madrid; Universite Catholique de Lille; EDHEC Business School; Center for Economic & Policy Research (CEPR)
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhz085
• 发表日期: 2020
• 页码: 2180
• 关键词: cross-section; INFORMATION; anomalies; performance; returns; robust

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.