Trading volume: Definitions, data analysis, and implications of portfolio theory

• 成果类型: Article
• 署名作者: Lo, AW; Wang, J
• 署名单位: Massachusetts Institute of Technology (MIT)
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/13.2.257
• 发表日期: 2000
• 页码: 257
• 关键词: EX-DIVIDEND DAY; CAPITAL-MARKET EQUILIBRIUM; Bid-ask spread; stock returns; price changes; INFORMATION; BEHAVIOR; MODEL; distributions; Heterogeneity

摘要

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.