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"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.
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Trading volume: implications of an intertemporal capital asset pricing model
2001, National Bureau of Economic Research
in English
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Trading volume: definitions, data analysis, and implications of portfolio theory
2000, National Bureau of Economic Research
in English
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Book Details
Edition Notes
"March 2000."
JEL no. G12.
Includes bibliographical references (p. 37-40).
Electronic access limited to Binghamton University faculty, staff and students for instructional and research purposes only.
Electronic version available via the Internet at the NBER World Wide Web site.
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