Article ID Journal Published Year Pages File Type
5069881 Finance Research Letters 2012 8 Pages PDF
Abstract
► Closed-form solution to rational expectations equilibrium with transaction costs. ► Prices aggregate less private information due to transaction costs. ► Equilibrium fraction of the informed is not a monotone function of transaction costs. ► The informativeness of prices decreases with transaction costs.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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Rational expectations equilibrium with transaction costs in financial markets
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