A Transaction-Cost Perspective on the Multitude of Firm Characteristics
研究了交易成本如何改变对投资者最优组合有显著影响的特征数量，发现交易成本使显著特征从6个增加到15个，因为组合特征能减少再平衡所需的交易成本。
Abstract We investigate how transaction costs change the number of characteristics that are jointly significant for an investor’s optimal portfolio and, hence, how they change the dimension of the cross-section of stock returns. We find that transaction costs increase the number of significant characteristics from 6 to 15. The explanation is that, as we show theoretically and empirically, combining characteristics reduces transaction costs because the trades in the underlying stocks required to rebalance different characteristics often cancel out. Thus, transaction costs provide an economic rationale for considering a larger number of characteristics than that in prominent asset-pricing models. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.