01749cam a22002417 4500001000600000003000500006005001700011008004100028100001800069245014100087260006600228490004100294500001600335520070100351530006101052538007201113538003601185690011201221700001901333710004201352830007601394856003701470w7625NBER20140416155646.0140416s2000 mau||||fs|||| 000 0 eng d1 aLo, Andrew W.10aTrading Volumeh[electronic resource]:bDefinitions, Data Analysis, and Implications of Portfolio Theory /cAndrew W. Lo, Jiang W. Wang. aCambridge, Mass.bNational Bureau of Economic Researchc2000.1 aNBER working paper seriesvno. w7625 aMarch 2000.3 aWe 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. aHardcopy version available to institutional subscribers. aSystem requirements: Adobe [Acrobat] Reader required for PDF files. aMode of access: World Wide Web. 7aG12 - Asset Pricing • Trading Volume • Bond Interest Rates2Journal of Economic Literature class.1 aWang, Jiang W.2 aNational Bureau of Economic Research. 0aWorking Paper Series (National Bureau of Economic Research)vno. w7625.4 uhttp://www.nber.org/papers/w7625