Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 郑会荣教授 (金融学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1016/j.jempfin.2006.12.004 |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/0WOS source URL
其它资讯
摘要We document a set of instruments that explain a large fraction of the time series variation in turnover between 1966 and 2http://aims.cuhk.edu.hk/converis/portal/Publication/0http://aims.cuhk.edu.hk/converis/portal/Publication/03. We use these relations in latent variable tests that examine the number of predictable factors that drive conditional expected time-varying turnover. After refining the weighting matrix as suggested by Ferson and Foerster [Ferson, W and S. Foerster, 1994. "Finite Sample Properties of the Generalized Method of Moments in Tests of Conditional Asset Pricing Models." Journal of Financial Economics 36, 29-55.] and Bekaert and Urias [Bekaert, G. and M.S. Urias, 1996. "Diversification, Integration and Emerging Market Closed-End 14 Funds." Journal of Finance 51, 835-869.] and accounting for dimensionality as suggested by Gallant and Tauchen [Gallant, R. and G. Tauchen, 1991. "Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications." Econometrica 57, 1http://aims.cuhk.edu.hk/converis/portal/Publication/091-1119.], we reject a one-factor model. However, this rejection is partially driven by non-stationarity. When we correct for non-stationarity by using normalized turnover, we reject a single-factor model in the second half of our sample but not in the first. Our work extends recent work by Tkac [Tkac, P.A., 1999. "A Trading Volume Benchmark: Theory and Evidence." Journal of Financial and Quantitative Analysis 34, 89-114.] and by Lo and Wang [Lo, A. and J. Wang, 2http://aims.cuhk.edu.hk/converis/portal/Publication/0http://aims.cuhk.edu.hk/converis/portal/Publication/0http://aims.cuhk.edu.hk/converis/portal/Publication/0. "Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory." Review of Financial Studies 13, 257-3http://aims.cuhk.edu.hk/converis/portal/Publication/0http://aims.cuhk.edu.hk/converis/portal/Publication/0.] who develop and test implications of share turnover for asset pricing relations. (C) 2http://aims.cuhk.edu.hk/converis/portal/Publication/0http://aims.cuhk.edu.hk/converis/portal/Publication/07 Elsevier B.V. All rights reserved.
着者Chang EC, Cheng JW, Pinegar JM
期刊名称JOURNAL OF EMPIRICAL FINANCE
详细描述vol.15
出版年份2http://aims.cuhk.edu.hk/converis/portal/Publication/0http://aims.cuhk.edu.hk/converis/portal/Publication/08
月份3
日期1
卷号15
期次2
出版社Elsevier
页次251 - 264
国际标準期刊号http://aims.cuhk.edu.hk/converis/portal/Publication/0927-5398
语言英式英语
关键词latent variable tests; time-varying conditional volume
Web of Science 学科类别Business & Economics; Business, Finance; BUSINESS, FINANCE; Economics; ECONOMICS
