1 option
Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory / Andrew W. Lo, Jiang W. Wang.
- Format:
- Book
- Author/Creator:
- Lo, Andrew W.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w7625.
- NBER working paper series no. w7625
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- Trading Volume
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2000.
- Summary:
- We examine the implications of portfolio theory for the cross-sectional behavior of equity trading volume. Two-fund separation theorems suggest a natural definition for trading activity: share turnover. If two-fund separation holds, share turnover must be identical for all securities. If (K+1)-fund separation holds, we show that turnover satisfies an approximately linear K-factor structure. These implications are examined empirically using individual weekly turnover data for NYSE and AMEX securities from 1962 to 1996. We find strong evidence against two-fund separation, and a principal-components decomposition suggests that turnover is well approximated by a two-factor linear model.
- Notes:
- Print version record
- March 2000.
The Penn Libraries is committed to describing library materials using current, accurate, and responsible language. If you discover outdated or inaccurate language, please fill out this feedback form to report it and suggest alternative language.