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Transaction Costs and the Pricing of Financial Assets

Author

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  • George M. Constantinides

    (University of Chicago, U.S.A.)

Abstract

I would like to thank the officers of the Multinational Finance Society and the organizers of its 4th annual conference for bringing us together in the historic city of Thessaloniki to discuss research developments in finance. Specifically, I would like to recognize the President of the Society, Geoffrey Booth, President-elect, George Philippatos, Chairman of the Board of Trustees, Panayiotis Theodossiou, Program Chair, Nickolaos Travlos, and Program Cochair, Angelos Tsaklanganos. They richly deserve a round of applause.

Suggested Citation

  • George M. Constantinides, 1997. "Transaction Costs and the Pricing of Financial Assets," Multinational Finance Journal, Multinational Finance Journal, vol. 1(2), pages 93-99, June.
    • Handle: RePEc:mfj:journl:v:1:y:1997:i:2:p:93-99
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    References listed on IDEAS

    as
    1. Aiyagari, S. Rao & Gertler, Mark, 1991. "Asset returns with transactions costs and uninsured individual risk," Journal of Monetary Economics, Elsevier, vol. 27(3), pages 311-331, June.
    2. Heaton, John & Lucas, Deborah J, 1996. "Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing," Journal of Political Economy, University of Chicago Press, vol. 104(3), pages 443-487, June.
    3. Vayanos, Dimitri, 1998. "Transaction Costs and Asset Prices: A Dynamic Equilibrium Model," The Review of Financial Studies, Society for Financial Studies, vol. 11(1), pages 1-58.
    4. George M. Constantinides, 2005. "Capital Market Equilibrium with Transaction Costs," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 7, pages 207-227, World Scientific Publishing Co. Pte. Ltd..
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    Cited by:

    1. Nikolaos Philippas, 2014. "Did Behavioral Mutual Funds Exploit Market Inefficiencies During or After the Financial Crisis?," Multinational Finance Journal, Multinational Finance Journal, vol. 18(1-2), pages 85-138, March - J.
    2. Vagnani, Gianluca, 2009. "The Black-Scholes model as a determinant of the implied volatility smile: A simulation study," Journal of Economic Behavior & Organization, Elsevier, vol. 72(1), pages 103-118, October.
    3. Deuskar, Prachi & Gupta, Anurag & Subrahmanyam, Marti G., 2011. "Liquidity effect in OTC options markets: Premium or discount?," Journal of Financial Markets, Elsevier, vol. 14(1), pages 127-160, February.
    4. Gianluca Vagnani, 2009. "The Black-Scholes model as a determinant of the implied volatility smile: A simulation study," Post-Print hal-00736952, HAL.
    5. Emilio Abad-Segura & Mariana-Daniela González-Zamar, 2020. "Global Research Trends in Financial Transactions," Mathematics, MDPI, vol. 8(4), pages 1-32, April.
    6. Steven Devaney & Pat McAllister & Anupam Nanda, 2017. "Determinants of transaction activity in commercial real estate markets: evidence from European and Asia-Pacific countries," Journal of Property Research, Taylor & Francis Journals, vol. 34(4), pages 251-268, October.

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