Título:

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

Autores:

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

Revista:

Portuguese Economic Journal

Ano:

2017

Volume:

16

Número:

2

Páginas:

65-86

Códigos JEL:

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