Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5089722 | Journal of Banking & Finance | 2012 | 12 Pages |
Abstract
⺠We investigate the impact of trading costs on reversal profits. ⺠Excluding small cap stocks significantly lowers trading costs. ⺠Applying a more sophisticated portfolio construction approach lowers costs further. ⺠Reversal profits can be up to 50 basis points per week net of trading costs. ⺠Conventional trading cost estimates should be interpreted with caution in some cases.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Wilma de Groot, Joop Huij, Weili Zhou,