NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Rationalizing Trading Frequency and Returns

Yosef Bonaparte, Russell Cooper

NBER Working Paper No. 16022
Issued in May 2010

---- Acknowledgements -----

We are grateful to the National Science Foundation for supporting this research. We thank seminar participants at the Federal Reserve Banks of Dallas and Kansas City, Cambridge University, the CCER at Peking University, the EIEF in Rome, Melbourne University, Oxford University, the Pennsylvania State University and the Toulouse School of Economics for comments and suggestions on earlier work that underlies this paper. Guozhong Zhu provided outstanding research assistance. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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