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