A Model of Trading Volume with Tax-Induced Heterogeneous Valuation and Transaction Costs
构建了一个交易量模型，当投资者因税收状态不同而对股票估值有差异且面临交易成本时，模型预测股息支付股票的特质风险会降低交易量，而系统风险仅在存在交易成本时才会降低交易量。
We develop a model of trading volume when agents have different valuation and face transaction costs. In particular, the differential valuation is induced by differential tax status which generates trading around the distribution of cash dividends. Our model predicts that trading volume is negatively affected by idiosyncratic risk of dividend-paying stocks. Volume is negatively affected by the systematic risk of these stocks only in the presence of transaction costs.Journal of Economic LiteratureClassification Numbers: G11, G12, H20.