NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Rationalizing Trading Frequency and Returns: Maybe Trading is Good for You

Yosef Bonaparte, Russell Cooper, Mengli Sha

NBER Working Paper No. 25838
Issued in May 2019, Revised in April 2020

---- Acknowledgments ----

We are grateful to the National Science Foundation for supporting the early stages of this research. This paper is a major revision of one circulated earlier as NBER Working Paper #w16022 entitled \Rationalizing Trading Frequency and Returns: Trading is Good for your Wealth" by Yosef Bonaparte and Russell Cooper. 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 on the earlier paper. Comments and suggestions from seminar participants at the European University Institute and Universitat Bonn on the most recent incarnation of the research are greatly appreciated. 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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