Trading volume
definitions, data analysis, and implications of portfolio theory
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Author
Contributions
- Wang, Jiang, 1959- - Contributor
- National Bureau of Economic Research. - Contributor
Publication
2000 - National Bureau of Economic Research, Cambridge, MA, Massachusetts
Language
English
Word Count
10,000 words, Guess
Page Count
40 pages
Identifiers
- OCLC Control Number43926693
- Open LibraryOL22399569M
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.
Subjects
Genres
- Econometric models
Series Statement
- NBER working paper series -- working paper 7625
- Working paper series (National Bureau of Economic Research) -- working paper no. 7625.
Links
Other Editions
- Trading volume: definitions, data analysis, and implications of portfolio theory
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