Trading volume : definitions, data analysis, and implications of portfolio theory /
"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 decompos...
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| Format: | Book |
| Language: | English |
| Published: |
Cambridge, MA :
National Bureau of Economic Research,
©2000
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| Series: | Working paper series (National Bureau of Economic Research) ;
working paper no. 7625 |
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