Title: The Role of Trading Frequency and Transaction Cost on Asset Pricing: Evidence from Pakistan Stock Exchange
Abstract: This paper compares price impact ratio (Amihud, 2002) and new priceimpact ratio (Florackis, Gregoriou, & Kostakis, 2011) by taking dailydata from Pakistani market for a period of 14 years ranging fromJanuary 2000 to December 2013. The first part of the paper covers thecomparison of deciles portfolios and the second part covers riskadjusted deciles portfolios. Results suggest that new price impact modelgives better results as compared to extensively applied price impactmodel and confirms that costs of transaction and trading frequencyjointly effect asset pricing. Therefore, both the aspects should be studiedmutually rather than in isolation.
 JEL Classification Codes: G10; G12; G14