.png){kind=icon}
返回
.png){kind=icon}
.png){kind=icon}
摘要
En 中文
This article applies the methodology of Bai and Ng (2002, 2004) for decomposing panel data into systematic and idiosyncratic components to both stock returns and turnover panels. This approach works well for both returns and turnover, despite the presence of severe heteroscedasticity and nonstationarity of individual stocks turnover. We test the mutual fund separation model of Lo and Wang (2000). Trading due to systematic risk in returns can account for 66% of systematic turnover. Thus, portfolio rebalancing due to systematic risk is a very important motive for stock trading. Finally, several common turnover measures may understate the impact of stock trading.
Keyword:
EXPECTED STOCK RETURNS
TRADING VOLUME
PRICING THEORY
LIQUIDITY
PRICES
MARKET
MODEL
MOMENTUM
CRASHES
NUMBER
AI总结
对已上传原文的论文进行重点信息的提取，主要内容包括：简要概述、研究摘要、背景介绍、关键亮点、图文解析、展望与总结。
期刊
IF:
5.4
论文数:
2.8K
被引数:
3.0W
机构
暂无机构信息
引用论文
.png){kind=icon}
分享.png){kind=icon}
收藏SEQUENTIAL-TESTS OF THE ARBITRAGE PRICING THEORY - A COMPARISON OF PRINCIPAL COMPONENTS AND MAXIMUM-LIKELIHOOD FACTORS.png)
JOURNAL OF FINANCE.png)
JOURNAL OF FINANCEIF9.5
PREAI
分享收藏分享收藏分享收藏Volume, volatility, price, and profit when all traders are above averageJOURNAL OF FINANCE
JOURNAL OF FINANCEIF9.5
PREAI
分享收藏A unified theory of underreaction, momentum trading, and overreaction in asset markets资产市场反应不足、动量交易和反应过度的统一理论JOURNAL OF FINANCE
OAAI
JOURNAL OF FINANCEIF9.5
OAAI分享收藏
查看更多内容