Trading volume : definitions, data analysis, and implications of portfolio theory / Andrew W. Lo, Jiang Wang.

• 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 ... 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

Ämnesord

Portfolio management  -- Econometric models (LCSH)

Stock exchanges  -- Econometric models (LCSH)

Publikations- och innehållstyp

332.642 (DDC)

Qaec (kssb/8 (machine generated))