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Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory

Andrew W. Lo; Jiang Wang

Moscow Institute of Thermal Technology

Review of Financial Studies 2000

"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.

DOI
10.1093/rfs/13.2.257
Volume
13 (2)
Pages
257-300
Language
en
Export
BibTeX
Sources
crossref openalex