Stock market trading volume andrew lo

Author: delyaga On: 12.07.2017

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Next article in issue: Model Uncertainty and Option Markets with Heterogeneous Beliefs. We derive an intertemporal asset pricing model and explore its implications for trading volume and asset returns.

We show that investors trade in only two portfolios: We empirically identify the hedging portfolio using weekly volume and returns data for U. Its return should be an additional risk factor in explaining the cross section of asset returns, and should also be the best predictor of future market returns. View all 28 citations. Powered by Wiley Online Library. By continuing to browse this site you agree to us using cookies as described in About Cookies Remove maintenance message.

Go to old article view Advertisement. Estimating the Gains from Trade in Limit-Order Markets Previous article in issue: Estimating the Gains from Trade in Limit-Order Markets Next article in issue: Model Uncertainty and Option Markets with Heterogeneous Beliefs Next article in issue: Implications of an Intertemporal Capital Asset Pricing Model Authors ANDREW W.

LO, JIANG WANG Corresponding author Search for more papers by this author. December Full publication history DOI: Set citation alert Citing literature. Lo is from MIT Sloan School of Management, and National Bureau of Economic Research NBER , and Wang is from MIT Sloan School of Management, NBER, and China Center for Financial Research.

The authors thank Joon Chae, Ilan Guedj, Jannette Papastaikoudi, Antti Petajisto, and Jean-Paul Sursock for excellent research assistance, and Jonathan Lewellen for providing his industry classification scheme.

Financial support from the MIT Laboratory for Financial Engineering and the National Science Foundation Grant No.

stock market trading volume andrew lo

SBR— is gratefully acknowledged. ABSTRACT We derive an intertemporal asset pricing model and explore its implications for trading volume and asset returns.

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Stock Market Trading Volume by Andrew W. Lo, Jiang Wang :: SSRN

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