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  • DMNU-Manuscript+InternetAppendix-2019-01-08

    Rights statement: This is a pre-copy-editing, author-produced PDF of an article accepted for publication in The Review of Financial Studies following peer review. The definitive publisher-authenticated version Victor DeMiguel, Alberto Martín-Utrera, Francisco J Nogales, Raman Uppal, A Transaction-Cost Perspective on the Multitude of Firm Characteristics, The Review of Financial Studies, Volume 33, Issue 5, May 2020, Pages 2180–2222 is available online at: https://academic.oup.com/rfs/article-abstract/33/5/2180/5821387

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    Available under license: CC BY-NC: Creative Commons Attribution-NonCommercial 4.0 International License

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A Transaction-Cost Perspective on the Multitude of Firm Characteristics

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Published

Standard

A Transaction-Cost Perspective on the Multitude of Firm Characteristics. / Martin Utrera, Alberto; DeMiguel, Victor; Uppal, Raman et al.
In: Review of Financial Studies, Vol. 33, No. 5, 01.05.2020, p. 2180–2222.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Martin Utrera, A, DeMiguel, V, Uppal, R & Nogales, FJ 2020, 'A Transaction-Cost Perspective on the Multitude of Firm Characteristics', Review of Financial Studies, vol. 33, no. 5, pp. 2180–2222. https://doi.org/10.1093/rfs/hhz085

APA

Martin Utrera, A., DeMiguel, V., Uppal, R., & Nogales, F. J. (2020). A Transaction-Cost Perspective on the Multitude of Firm Characteristics. Review of Financial Studies, 33(5), 2180–2222. https://doi.org/10.1093/rfs/hhz085

Vancouver

Martin Utrera A, DeMiguel V, Uppal R, Nogales FJ. A Transaction-Cost Perspective on the Multitude of Firm Characteristics. Review of Financial Studies. 2020 May 1;33(5):2180–2222. Epub 2020 Apr 17. doi: 10.1093/rfs/hhz085

Author

Martin Utrera, Alberto ; DeMiguel, Victor ; Uppal, Raman et al. / A Transaction-Cost Perspective on the Multitude of Firm Characteristics. In: Review of Financial Studies. 2020 ; Vol. 33, No. 5. pp. 2180–2222.

Bibtex

@article{0fb15fa4dd8547fe833d5613065df319,
title = "A Transaction-Cost Perspective on the Multitude of Firm Characteristics",
abstract = "We investigate how transaction costs change the number of characteristics that are jointly significant for an investor{\textquoteright}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 six 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.",
author = "{Martin Utrera}, Alberto and Victor DeMiguel and Raman Uppal and Nogales, {Francisco J.}",
note = "This is a pre-copy-editing, author-produced PDF of an article accepted for publication in The Review of Financial Studies following peer review. The definitive publisher-authenticated version Victor DeMiguel, Alberto Mart{\'i}n-Utrera, Francisco J Nogales, Raman Uppal, A Transaction-Cost Perspective on the Multitude of Firm Characteristics, The Review of Financial Studies, Volume 33, Issue 5, May 2020, Pages 2180–2222 is available online at: https://academic.oup.com/rfs/article-abstract/33/5/2180/5821387",
year = "2020",
month = may,
day = "1",
doi = "10.1093/rfs/hhz085",
language = "English",
volume = "33",
pages = "2180–2222",
journal = "Review of Financial Studies",
issn = "0893-9454",
publisher = "Oxford University Press",
number = "5",

}

RIS

TY - JOUR

T1 - A Transaction-Cost Perspective on the Multitude of Firm Characteristics

AU - Martin Utrera, Alberto

AU - DeMiguel, Victor

AU - Uppal, Raman

AU - Nogales, Francisco J.

N1 - This is a pre-copy-editing, author-produced PDF of an article accepted for publication in The Review of Financial Studies following peer review. The definitive publisher-authenticated version Victor DeMiguel, Alberto Martín-Utrera, Francisco J Nogales, Raman Uppal, A Transaction-Cost Perspective on the Multitude of Firm Characteristics, The Review of Financial Studies, Volume 33, Issue 5, May 2020, Pages 2180–2222 is available online at: https://academic.oup.com/rfs/article-abstract/33/5/2180/5821387

PY - 2020/5/1

Y1 - 2020/5/1

N2 - 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 six 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.

AB - 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 six 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.

U2 - 10.1093/rfs/hhz085

DO - 10.1093/rfs/hhz085

M3 - Journal article

VL - 33

SP - 2180

EP - 2222

JO - Review of Financial Studies

JF - Review of Financial Studies

SN - 0893-9454

IS - 5

ER -