Arbeitspapier
Transaction costs and value premium
Value premium has been well documented in the finance literature. This paper empirically examines whether the value strategy of buying value stocks and selling growth stocks is profitable after controlling for transaction costs. Using the limited dependent variable estimate of transaction costs as in Lesmond, Ogden, and Trzcinka (1999), we find that value premium disappears as implementation of a value strategy involves substantial transaction costs. Our results after controlling for size and liquidity are robust to different ways of categorizing value and growth stocks used in the existing literature (Lakonishok, Shleifer, and Vishny (1994), and Fama and French (1993, 2006)) and to different methods of measuring transaction costs.
- Language
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Englisch
- Bibliographic citation
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Series: CFR Working Paper ; No. 07-06
- Classification
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Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Information and Market Efficiency; Event Studies; Insider Trading
- Subject
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Transaction costs
value stocks
growth stocks
value premium
liquidity
- Event
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Geistige Schöpfung
- (who)
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Agarwal, Vikas
Wang, Lingling
- Event
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Veröffentlichung
- (who)
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University of Cologne, Centre for Financial Research (CFR)
- (where)
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Cologne
- (when)
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2007
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Agarwal, Vikas
- Wang, Lingling
- University of Cologne, Centre for Financial Research (CFR)
Time of origin
- 2007
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