TY  - BOOK
AU  - Kramer,Charles Frederick
TI  - Noise Trading, Transaction Costs, and the Relationship of Stock Returns and Trading Volume
T2  - IMF Working Papers; Working Paper
SN  - 1451854870 :
SN  - 1018-5941
PY  - 1994///
CY  - Washington, D.C.
PB  - International Monetary Fund
KW  - Equation
KW  - imf
KW  - Explanatory Power
KW  - Orthogonality
KW  - Statistics
KW  - Transactions Costs
KW  - United States
N2  - The relationship of stock returns and trading volume is the focus of much recent interest. I examine an economic model of a rational trader who operates in a market with transactions costs and noise trading. The level of trading affects the rational trader's marginal cost of transacting; as a result, trading volume is a source of risk. This engenders an equilibrium relationship between returns and volume. The model also provides a simple way to scrutinize this relationship empirically. Empirical evidence supports the implications of the model
UR  - http://elibrary.imf.org/view/IMF001/04957-9781451854879/04957-9781451854879/04957-9781451854879.xml
UR  - http://www.imfbookstore.org/IMFORG/9781451854879
ER  -