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Trading volume : definitions, data analysis, and implications of portfolio theory / Andrew W. Lo, Jiang Wang.
- Lo, Andrew W. (Andrew Wen-Chuan) (author)
- Wang, Jiang, 1959- (author)
- Cambridge, Mass. National Bureau of Economic Research, 2000
- English 40 s.
- Series: Working paper series / National Bureau of Economic Research, 99-0429337-6 ; 7625
- swepub:Mat__t
Abstract
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- 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
Subject headings
- Portfolio management -- Econometric models (LCSH)
- Stock exchanges -- Econometric models (LCSH)
Publication and Content Type
- 332.642 (DDC)
- Qaec (kssb/8 (machine generated))
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