Trading volume
Subtitle: definitions, data analysis, and implications of portfolio theory
By: Andrew W. Lo, Jiang Wang.
Contributors: Wang, Jiang, 1959-; National Bureau of Economic Research.
Series: NBER working paper series -- working paper 7625; Working paper series (National Bureau of Economic Research) -- working paper no. 7625.
Publisher: National Bureau of Economic Research
Published: 2000
Place of publication: Cambridge, MA
Language: eng
Number of pages: 40
Subjects: Stock exchanges -- Econometric models.; Portfolio management -- Econometric models.
Genres: Econometric models.
Description: "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.
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.