Theoretical papers link the liquidity premium to the optimal trading decisions of investors
facing transaction costs. In particular, investors' holding periods determine how transaction …

Investors' holding periods determine how transaction costs are amortized and priced as
liquidity premium in asset returns. Using a dataset containing two million trades made by …

I develop a theory of optimal trading by an institutional trader who receives a parent order
(ie, an overall trading request) from a fund manager to buy a specific quantity of a particular …

Using a unique dataset of individual investors, we categorize their security sale transactions
into liquidity sales (proceeds withdrawn from the sample bank), speculative sales (proceeds …

We use retail investors' short sales to identify informed trading. For individual investors, short
selling stocks is more costly and risky than purchasing them, which deters noise trading and …

This work consists of three essays that investigate the effect of investor behavior on asset
prices. In the first essay, titled" Transaction Costs and Investment Decisions of Individual …