Predictability and Transaction Costs: The Impact on Rebalancing Rules and Behavior
研究在存在交易成本时，资产收益的可预测性如何影响多期投资者的再平衡行为，发现可预测性导致无交易区间变宽且状态依赖，投资者更频繁地再平衡并花费更多成本。
Recent papers show that predictability calibrated to U.S. data has a large effect on the rebalancing behavior of a multiperiod investor. We find that this continues to be true in the presence of realistic transaction costs. In particular, predictability causes the no‐trade region for the risky‐asset holding to become state dependent and, on average, wider and higher. Predictability also motivates the investor to spend considerably more on rebalancing and to rebalance more often. In other results, we find that introducing costly liquidation of the risky asset for consumption lowers the average allocation to the risky asset, though only marginally early in life. Our experiments also vary the nature of the return predictability and introduce return heteroskedasticity.