Trading Volume : Implications of An Intertemporal Capital Asset Pricing Model  

Oleh:

Lo, Andrew W. ; Wang, Jiang

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 61 no. 6 (Des. 2006), page 2805-2840.
Topik: PRICING; studies; securities trading volume; rates of return; hedging; mathematical models
Fulltext: p 2805.pdf (594.35KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

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 : the market portfolio, and a hedging protfolio that is used to hedge the risk of changing market conditions. We empirically identify the hedging portfolio using weekly volume and returns data for U.S. stocks and then test two of its properties implied by the theory : 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.

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