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Trading volume : implications of an intertemporal capital asset pricing model

Lo, Andrew W.; Wang, Jiang - In: The journal of finance : the journal of the American … 61 (2006) 6, pp. 2805-2840

Persistent link: https://www.econbiz.de/10003398504

Trading volume : implications of an intertemporal capital asset pricing model

Lo, Andrew W.; Wang, Jiang - 2001

Persistent link: https://www.econbiz.de/10001627285

Trading volume : definitions, data analysis, and implications of portfolio theory

Lo, Andrew W.; Wang, Jiang - In: The review of financial studies 13 (2000) 2, pp. 257-300

Persistent link: https://www.econbiz.de/10001485494

Trading Volume : Definitions, Data Analysis, and Implications of Portfolio Theory

Lo, Andrew W. - 2001

We examine the implications of portfolio theory for the cross-sectional behavior of equity trading volume. Two …

Persistent link: https://www.econbiz.de/10012788102

Trading Volume : Implications of An Intertemporal Capital Asset Pricing Model

Lo, Andrew W. - 2001

We derive an intertemporal capital asset pricing model with multiple assets and heterogeneous investors, and explore its implications for the behavior of trading volume and asset returns. Assets contain two types of risks: market risk and the risk of changing market conditions. We show that...

Persistent link: https://www.econbiz.de/10012470153

Encyclopedia of Financial Models, 3 Volume Set

Fabozzi, Frank J. - 2012

An essential reference dedicated to a wide array of financial models, issues in financial modeling, and mathematical and statistical tools for financial modeling The need for serious coverage of financial modeling has never been greater, especially with the size, diversity, and efficiency of...

Persistent link: https://www.econbiz.de/10012676797

Encyclopedia of Financial Models, Volume II

Fabozzi, Frank J. - 2012

MULTIFACTOR CAPM: MERTON -- ARBITRAGE PRICING THEORY: ROSS -- ARBITRAGE, HEDGING, AND OPTION THEORY: BLACK, SCHOLES, AND MERTON … Portfolio Construction -- Factor Models -- ARBITRAGE PRICING THEORY -- TYPES OF FACTOR MODELS -- FACTOR MODEL ESTIMATION -- USE … -- TIME HORIZON OF MODELS -- APPLICATIONS -- KEY POINTS -- REFERENCES -- Regression Analysis: Theory and Estimation -- THE …

Persistent link: https://www.econbiz.de/10012682657

Encyclopedia of Financial Models, Volume I

Fabozzi, Frank J. - 2012

-- KEY POINTS -- REFERENCES -- Capital Asset Pricing Models -- INTRODUCTION -- SHARPE-LINTNER CAPM -- ROY CAPM -- CONFUSIONS … REGARDING THE CAPM -- TWO MEANINGS OF MARKET EFFICIENCY -- CAPM INVESTORS DO NOT GET PAID FOR BEARING RISK -- THE "TWO BETA …

Persistent link: https://www.econbiz.de/10012682658

Trading volume, anomaly returns and noise trader risk in China

Han, Chunmao; Zhang, Wei - In: Pacific-Basin finance journal 84 (2024), pp. 1-28

Persistent link: https://www.econbiz.de/10014534538

The role of trading volume in forecasting market risk

Slim, Skander - In: Inventi impact: international trade (2016) 3, pp. 169-181

Persistent link: https://www.econbiz.de/10011567980