Andrew W.Lo:Trading Volume: Definitions, Data Analysis, and Implications

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Trading Volume Definitions, Data Analysis, and Implications of Portfolio Theory .pdf (2.57 MB)

2013-5-17 23:05:49 上传

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.

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关键词：Implications Implication DEFINITIONS definition Analysis individual definition structure activity examine

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