Trading volume: definitions, data analysis, and implications of portfolio theory
Gespeichert in:
| Beteiligte Personen: | , |
|---|---|
| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
2000
|
| Schriftenreihe: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
7625 |
| Schlagwörter: | |
| Links: | http://papers.nber.org/papers/w7625.pdf |
| Abstract: | "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. |
| Umfang: | 40, [12] S. graph. Darst. |
Internformat
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| 490 | 1 | |a National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |v 7625 | |
| 520 | 3 | |a "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. | |
| 650 | 4 | |a Ökonometrisches Modell | |
| 650 | 4 | |a Portfolio management |x Econometric models | |
| 650 | 4 | |a Stock exchanges |x Econometric models | |
| 700 | 1 | |a Wang, Jiang |d 1959- |e Verfasser |0 (DE-588)128650338 |4 aut | |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe |
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| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-009051753 | |
Datensatz im Suchindex
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| id | DE-604.BV013276859 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T10:44:24Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-009051753 |
| oclc_num | 43926693 |
| open_access_boolean | 1 |
| owner | DE-19 DE-BY-UBM DE-521 |
| owner_facet | DE-19 DE-BY-UBM DE-521 |
| physical | 40, [12] S. graph. Darst. |
| publishDate | 2000 |
| publishDateSearch | 2000 |
| publishDateSort | 2000 |
| publisher | National Bureau of Economic Research |
| record_format | marc |
| series | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| series2 | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| spelling | Lo, Andrew W. 1960- Verfasser (DE-588)124791433 aut Trading volume definitions, data analysis, and implications of portfolio theory Andrew W. Lo ; Jiang Wang Cambridge, Mass. National Bureau of Economic Research 2000 40, [12] S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 7625 "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. Ökonometrisches Modell Portfolio management Econometric models Stock exchanges Econometric models Wang, Jiang 1959- Verfasser (DE-588)128650338 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 7625 (DE-604)BV002801238 7625 http://papers.nber.org/papers/w7625.pdf kostenfrei Volltext |
| spellingShingle | Lo, Andrew W. 1960- Wang, Jiang 1959- Trading volume definitions, data analysis, and implications of portfolio theory National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series Ökonometrisches Modell Portfolio management Econometric models Stock exchanges Econometric models |
| title | Trading volume definitions, data analysis, and implications of portfolio theory |
| title_auth | Trading volume definitions, data analysis, and implications of portfolio theory |
| title_exact_search | Trading volume definitions, data analysis, and implications of portfolio theory |
| title_full | Trading volume definitions, data analysis, and implications of portfolio theory Andrew W. Lo ; Jiang Wang |
| title_fullStr | Trading volume definitions, data analysis, and implications of portfolio theory Andrew W. Lo ; Jiang Wang |
| title_full_unstemmed | Trading volume definitions, data analysis, and implications of portfolio theory Andrew W. Lo ; Jiang Wang |
| title_short | Trading volume |
| title_sort | trading volume definitions data analysis and implications of portfolio theory |
| title_sub | definitions, data analysis, and implications of portfolio theory |
| topic | Ökonometrisches Modell Portfolio management Econometric models Stock exchanges Econometric models |
| topic_facet | Ökonometrisches Modell Portfolio management Econometric models Stock exchanges Econometric models |
| url | http://papers.nber.org/papers/w7625.pdf |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT loandreww tradingvolumedefinitionsdataanalysisandimplicationsofportfoliotheory AT wangjiang tradingvolumedefinitionsdataanalysisandimplicationsofportfoliotheory |