Skip Navigation

This Article
Right arrow Full Text (PDF)
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Similar articles in ISI Web of Science
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrow Search for citing articles in:
ISI Web of Science (53)
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by Lo, A. W.
Right arrow Articles by Wang, J.
Right arrow Search for Related Content
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

Rev Fin 2000; 13:257-300
© 2000 the Society for Financial Studies

Article

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

AW Loz and J Wang
MIT Sloan School of Management, 50 Memorial Drive, Cambridge, MA 02142-1347, USA
z Corresponding author
E-mail: alo@mit.edu

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. 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.


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?


This article has been cited by other articles:


Home page
 REV FINANC STUDHome page
M. Braun and B. Larrain
Do IPOs Affect the Prices of Other Stocks? Evidence from Emerging Markets
Rev. Financ. Stud., March 29, 2008; (2008) hhn025v1.
[Abstract] [Full Text] [PDF]

Home page
 REV FINANC STUDHome page
R. Greenwood
Trading Restrictions and Stock Prices
Rev. Financ. Stud., March 27, 2008; (2008) hhn022v1.
[Abstract] [Full Text] [PDF]

Home page
 REV FINANC STUDHome page
K. J. M. Cremers and J. Mei
Turning over Turnover
Rev. Financ. Stud., November 1, 2007; 20(6): 1749 - 1782.
[Abstract] [Full Text] [PDF]

Home page
 REV FINANC STUDHome page
J. M. Griffin, F. Nardari, and R. M. Stulz
Do Investors Trade More When Stocks Have Performed Well? Evidence from 46 Countries
Rev. Financ. Stud., May 1, 2007; 20(3): 905 - 951.
[Abstract] [Full Text] [PDF]

Home page
 REV FINANC STUDHome page
T. Chordia, S.-W. Huh, and A. Subrahmanyam
The Cross-Section of Expected Trading Activity
Rev. Financ. Stud., May 1, 2007; 20(3): 709 - 740.
[Abstract] [Full Text] [PDF]

Home page
 REV FINANC STUDHome page
S. Hvidkjaer
A Trade-Based Analysis of Momentum
Rev. Financ. Stud., June 1, 2006; 19(2): 457 - 491.
[Abstract] [Full Text] [PDF]


Disclaimer:
Please note that abstracts for content published before 1996 were created through digital scanning and may therefore not exactly replicate the text of the original print issues. All efforts have been made to ensure accuracy, but the Publisher will not be held responsible for any remaining inaccuracies. If you require any further clarification, please contact our Customer Services Department.