haku: @indexterm TRADING VOLUMES / yhteensä: 43
viite: 31 / 43
| Tekijä: | Lo, A. Wang, J. |
| Otsikko: | Trading volume: definitions, data analysis, and implications of portfolio theory |
| Lehti: | Review of Financial Studies
2000 : SUMMER, VOL. 13:2, p. 257-300 |
| Asiasana: | TRADING VOLUMES DATA ANALYSIS MODELS |
| Kieli: | eng |
| Tiivistelmä: | The authors of this paper 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. These implications are examined empirically using individual weekly turnover data for NYSE and AMEX securities from 1962 to 1996. |
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