153: Xiao Qiao – Research Analyst Shares Practical Ways to do Better Research
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The Importance of Trading Costs in Academic Research
Trading costs have been relegated to one strand of research called market microstructure. But cross-sectional asset pricing, on the other hand, is another strand of research that's much bigger. So when you try to understand average returns in the cross-section, academics traditionally have ignored transactions costs under this setting.
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