Dynamic Trading with Predictable Returns and Transaction Costs
---- Acknowledgements ----
We are grateful for helpful comments from Kerry Back, Darrell Due, Pierre Collin-Dufresne, Andrea Frazzini, Esben Hedegaard, Hong Liu (discussant), Anthony Lynch, Ananth Madhavan (discussant), Andrei Shleifer, and Humbert Suarez, as well as from seminar participants at Stanford Graduate School of Business, University of California at Berkeley, Columbia University, NASDAQ OMX Economic Advisory Board Seminar, University of Tokyo, New York University, the University of Copenhagen, Rice University, University of Michigan Ross School, Yale University SOM, the Bank of Canada, and the Journal of Investment Management Conference. Lasse Pedersen is affiliated with AQR Capital Management, a global asset management firm that may apply some of the principles discussed in this research in some of its investment products. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.