> I've always wondered why assumptions about transaction costs and execution speed never show up in these kinds of "studies". Anyone who has participated in mar

> I've always wondered why assumptions about transaction costs and execution speed never show up in these kinds of "studies". Anyone who has participated in markets understands they have a significant impact on results. I would guess because transaction costs don't play any real part in the theory. If we only paid attention to papers that turned a profit after transaction costs, we might miss great theoretical ideas to build on. That said, I'm neither an academic nor a competent investor, so feel free to ignore that thought.