Darolles, Serge; Le Fol, Gaëlle - Centre de Recherche en Économie et Statistique … - 2003
Decomposing returns into market and stock speci?c components is commonpractice and forms the basis of popular asset pricing models. But what aboutvolume ? Can volume be decomposed in the same way as returns ? Lo andWang (2000), in a recent paper, suggest such a decomposition. Our paperis in this...