An edition of Trading volume (2000)

Trading volume

definitions, data analysis, and implications of portfolio theory

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Trading volume
Andrew W. Lo
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Last edited by WorkBot
December 15, 2009 | History
An edition of Trading volume (2000)

Trading volume

definitions, data analysis, and implications of portfolio theory

  • 0 Ratings
  • 0 Want to read
  • 0 Currently reading
  • 0 Have read

"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" -- Abstract.

Publish Date
Language
English
Pages
40

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Edition Availability
Cover of: Trading volume
Trading volume: implications of an intertemporal capital asset pricing model
2001, National Bureau of Economic Research
in English
Cover of: Trading volume

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Book Details


Edition Notes

"March 2000."

JEL no. G12.

Includes bibliographical references (p. 37-40).

Electronic access limited to Binghamton University faculty, staff and students for instructional and research purposes only.

Electronic version available via the Internet at the NBER World Wide Web site.

Published in
Cambridge, MA
Series
NBER working paper series -- working paper 7625, Working paper series (National Bureau of Economic Research) -- working paper no. 7625.
Genre
Econometric models.

The Physical Object

Pagination
40, [13] p. :
Number of pages
40

ID Numbers

Open Library
OL22399569M

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December 15, 2009 Edited by WorkBot link works
November 12, 2008 Created by ImportBot Imported from Binghamton University MARC record