Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory
By Andrew W. Lo, Jiang Wang. 2000
780 citations recorded by the source corpus.
Subfields: Accounting, Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/5862c451f29b131a8313a06deada2d94c9154757
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Accounting
- Avanidhar Subrahmanyam
- Tarun Chordia
- Richard Roll
- Tarun Ramadorai
- Soeren Hvidkjaer
- Sahn-Wook Huh
- Kuan-Hui Lee
- G. Karolyi
In Economics and Econometrics
- Avanidhar Subrahmanyam
- Tarun Chordia
- Andrew W. Lo
- Richard Roll
- J. Chae
- Soeren Hvidkjaer
- John Y. Campbell
- G. Karolyi
In Finance
- Avanidhar Subrahmanyam
- Tarun Chordia
- Andrew W. Lo
- John Y. Campbell
- Tarun Ramadorai
- Richard Roll
- J. Chae
- Soeren Hvidkjaer
Citations in the corpus
- Order Imbalance, Liquidity, and Market Returns (2002, neutral): “We focus on a hitherto unexplored but intuitive measure of trading activity: the aggregate daily order imbalance on the New York Stock Exchange.”
- Trading Volume Around Earnings Announcements and Other Financial Reports: Theory, Research Design, Empirical Evidence, and Directions for Future Research (2010, positive): “Empirical researchers typically measure trading volume as the percentage of shares traded relative to the number of shares outstanding, which Lo and Wang (2000, 258) characterize as a ―natural measure of trading activity.‖ This share turnover measure controls for firm size and the fact that the numb”
- Econometric Measures of Systemic Risk in the Finance and Insurance Sectors (2010, background): “For example, Lo and Wang (2000) report Monte Carlo evidence that the eigenvalues of a singular estimator of a positive-definite covariance matrix can be severely biased.”
- Capital Reallocation and Liquidity (2006, positive): “…and prices or returns in financial markets and housing markets, respectively, rather than aggregate fundamentals like GDP or employment (see, e.g., Lo and Wang, 2000, and Stein, 1995, and the papers cited therein).18 The finding in both the finance and real estate literature is that 16We have…”
- Who is the more overconfident trader? Individual vs. institutional investors (2011, methodology): “Based on Lo and Wang (2000), we use trading turnover, defined as the ratio of the number of shares traded in a given day to the total number of shares outstanding at the end of the day, as a measure of trading volume (see also Statman et al. (2006) and Chuang and Lee (2006)).”
- Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange (2001, background): “Sias (1997) analyzes order imbalances in the context of institutional buying and selling of closed-end funds; Lauterbach and Ben-Zion (1993) and Blume, MacKinlay, and Terker, (1989) study order imbalances around the October 1987 crash; and Lee (1992) does the same around earnings announcements.”
- Caught on tape: Institutional trading, stock returns, and earnings announcements (2009, result): “This is consistent with the results of Lo and Wang (2000), who attribute the positive association between firm size and turnover to the propensity of active institutional investors to hold large stocks for reasons of liquidity and corporate control.”