Anyone know any references on how to estimate transaction costs for a give trading strategy? In more specific terms, if I want to estimate the returns on an HML value strategy as in Fama-French 1993, how would I go about it?
$\begingroup$
$\endgroup$
4
-
3$\begingroup$ You know the papers by Novy-Marx and Velikov (2016, RFS) and Patton and Weller (2020, JFE)? $\endgroup$– KevinJan 31 at 22:58
-
$\begingroup$ Ah, thanks. I just came across those. Exactly what I was looking for. $\endgroup$– phdstudentJan 31 at 22:59
-
1$\begingroup$ Does this answer your question? Online sources for quantitative finance research $\endgroup$– AlperFeb 1 at 0:41
-
2$\begingroup$ @Alper, no not at all. $\endgroup$– phdstudentFeb 1 at 16:25
Add a comment
|