Prof. Peter Swan from the University of New South Wales is giving a VGSF
research seminar on "OPTIMAL PORTFOLIO BALANCING UNDER CONVENTIONAL
PREFERENCES AND TRANSACTION COSTS EXPLAINS THE EQUITY PREMIUM PUZZLE" on
FRIDAY, October 6th, from 15:30 to 17:00 at the WU Wien (UZA 4,
Nordbergstrasse 15, 1090 Wien, Room D204, 2. Obergeschoß, see
http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed
plan). Please find the paper's abstract below.
Peter is going to be in Vienna on Friday. If you like to meet him and to
discuss your research with him, please contact Alex Stomper
(stomper(a)ihs.ac.at).
Best,
Michael Halling
Abstract
Adding a motivation for trading due to endowment differences to the standard
assumptions of asset pricing, we investigate the impact of a variety of
impediments to trade including transactions costs and illiquidity due to
small participant numbers. We calibrate to observed activity levels,
returns, transaction costs and volatility in equity and bond markets to show
that equity investors benefit from the ability to trade freely, and thus
require a high return of 6 to 8% pa for bearing even modest transactional
charges of 0.5%. Our findings are consistent with most empirical facts and
explain a number of anomalies in addition to the equity premium puzzle.