Frazzini, A., Israel, R., & Moskowitz, T. (2012). Trading Costs of Asset Pricing Anomalies.

Using nearly a trillion dollars of live trading data from a large institutional money manager across 19 developed equity markets over the period 1998 to 2011, we measure the real-world transactions costs and price impact function facing an arbitrageur and apply them to size, value, momentum, and shortterm reversal strategies… [Read More]