A New Approach to the Duo-Factor-Model of Return and Volume

M. Cremers, J. Mei
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引用次数: 6

Abstract

This paper introduces a recently developed consistent statistic by Bai and Ng (2002) to determine the number of factors in an approximate multifactor model. We use this new approach to study a recent work by Lo and Wang (2000), which shows that a multifactor asset-pricing model not only imposes factor restrictions on stock returns but on trading volume as well. We explicitly test their theoretical model restriction using individual stock and turnover data from NYSE and AMEX from 1962 to 1996. While we find that the duo-factor model captures a great deal of common variation of return and trading volume, the data rejects a model restriction that excess return and turnover have the same number of systematic factors. We decompose excess return and turnover into systematic and idiosyncratic components. We discover a significant increase in the variation of idiosyncratic turnover through time, analogous to the finding of a notable increase in firm-specific volatility by Campbell, Lettau, Malkiel and Xu (2001). We also find significant co-movements between volatility and turnover at the systematic levels. Our findings support the view that trading volume is not purely random but driven by trading activities associated with macroeconomic and firm news.
收益与成交量双因子模型的新方法
本文介绍了Bai和Ng(2002)最近开发的一种一致性统计,用于确定近似多因素模型中的因素数量。我们使用这种新方法研究了Lo和Wang(2000)最近的一项研究,该研究表明,多因素资产定价模型不仅对股票收益施加了因素限制,而且对交易量也施加了因素限制。我们使用纽约证券交易所和美国证券交易所1962年至1996年的个股和成交量数据明确地检验了他们的理论模型限制。虽然我们发现双因素模型捕获了大量的收益和交易量的共同变化,但数据拒绝了超额收益和周转率具有相同数量的系统因素的模型限制。我们将超额回报和周转分解为系统的和特殊的组成部分。我们发现特质流失率随时间的变化显著增加,类似于Campbell、Lettau、Malkiel和Xu(2001)对公司特定波动率显著增加的发现。我们还发现,在系统水平上,波动性和周转率之间存在显著的协同运动。我们的研究结果支持这样一种观点,即交易量不是纯粹随机的,而是由与宏观经济和公司新闻相关的交易活动驱动的。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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