Stock Market Trading Volume By Andrew W. Lo Pdf

Download Stock Market Trading Volume By Andrew W. Lo Pdf book free online – from Stock Market Trading Volume By Andrew W. Lo Pdf book; This guide tries to balance the asset-pricing literature by reviewing the quantity implications of a dynamic general equilibrium model of asset markets under uncertainty, and investigating those implications empirically. Topics covered includes: Measuring Trading Activity, The Data, Time-Series Properties, Cross-Sectional Properties, Volume Implications of Portfolio

If price and quantity are the fundamental building blocks of any theory of market interactions, the importance of trading volume in understanding the behavior of financial markets is clear. However, while many economic models of financial markets have been developed to explain the behavior of prices—predictability, variability, and information content—far
less attention has been devoted to explaining the behavior of trading volume. In this article, we hope to expand our understanding of trading volume by developing well-articulated economic models of asset prices and volume and empirically estimating them using recently available daily volume data for individual securities from the University of Chicago’s Center for Research in Securities Prices.