Review of Financial Studies Vol. 13 No. 2 2000
Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory
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.
- DOI
- 10.1093/rfs/13.2.257
- Volume
- 13
- Issue
- 2
- Pages
- 257-300
- Language
- en
- Sources
- crossref openalex