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Article: The factor structure of time-varying conditional volume

TitleThe factor structure of time-varying conditional volume
Authors
KeywordsLatent variable tests
Time-varying conditional volume
Issue Date2008
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jempfin
Citation
Journal of Empirical Finance, 2008, v. 15 n. 2, p. 251-264 How to Cite?
AbstractWe document a set of instruments that explain a large fraction of the time series variation in turnover between 1966 and 2003. 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 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, 1091-1119.], 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, 2000. 'Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory.' Review of Financial Studies 13, 257-300.] who develop and test implications of share turnover for asset pricing relations.
Persistent Identifierhttp://hdl.handle.net/10722/85983
ISSN
2015 Impact Factor: 0.907
2015 SCImago Journal Rankings: 0.879
ISI Accession Number ID

 

DC FieldValueLanguage
dc.contributor.authorChang, ECen_HK
dc.contributor.authorCheng, JWen_HK
dc.contributor.authorPinegar, JMen_HK
dc.date.accessioned2010-09-06T09:11:28Z-
dc.date.available2010-09-06T09:11:28Z-
dc.date.issued2008en_HK
dc.identifier.citationJournal of Empirical Finance, 2008, v. 15 n. 2, p. 251-264en_HK
dc.identifier.issn0927-5398en_HK
dc.identifier.urihttp://hdl.handle.net/10722/85983-
dc.description.abstractWe document a set of instruments that explain a large fraction of the time series variation in turnover between 1966 and 2003. 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 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, 1091-1119.], 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, 2000. 'Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory.' Review of Financial Studies 13, 257-300.] who develop and test implications of share turnover for asset pricing relations.-
dc.languageengen_HK
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jempfinen_HK
dc.relation.ispartofJournal of Empirical Financeen_HK
dc.subjectLatent variable tests-
dc.subjectTime-varying conditional volume-
dc.titleThe factor structure of time-varying conditional volumeen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0927-5398&volume=15&issue=2&spage=251&epage=264&date=2008&atitle=The+factor+structure+of+time-varying+conditional+volumeen_HK
dc.identifier.emailChang, EC: ecchang@business.hku.hken_HK
dc.identifier.emailCheng, JW: Joseph@baf.msmail.cuhk.edu.hk-
dc.identifier.emailPinegar, JM: jmp5@byu.edu-
dc.identifier.authorityChang, EC=rp01050en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/j.jempfin.2006.12.004-
dc.identifier.scopuseid_2-s2.0-38849208998-
dc.identifier.hkuros166709en_HK
dc.identifier.volume15-
dc.identifier.issue2-
dc.identifier.spage251-
dc.identifier.epage264-
dc.identifier.isiWOS:000258227800007-

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