Title:

Portfolio Choice with High Frequency Data: CRRA Preferences and the Liquidity Effect

Authors:

Rui Pedro Brito (U Coimbra)
Helder M. C. V. Sebastiao (U Coimbra)
Pedro Godinho (U Coimbra)

Journal:

Portuguese Economic Journal

Year:

2017

Volume:

16

Number:

2

Pages:

65-86

JEL codes:

G11 - Portfolio Choice; Investment Decisions
G12 - Asset Pricing; Trading volume; Bond Interest Rates
G14 - Information and Market Efficiency; Event Studies

DOI:

10.1007/s10258-017-0131-3