营业额

M. Cremers, J. Mei
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引用次数: 48

摘要

本文采用Bai和Ng(2002,2004)的方法,将面板数据分解为股票收益和周转面板的系统和特质组件。尽管个股周转率存在严重的异方差和非平稳性,但该方法对收益率和周转率均有较好的效果。我们检验了Lo和Wang(2000)的共同基金分离模型。由于系统性风险带来的收益交易可以占到系统性交易额的66%。因此,由于系统性风险导致的投资组合再平衡是股票交易的一个非常重要的动机。最后,一些常见的成交量指标可能低估了股票交易的影响。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Turning Over Turnover
This article applies the methodology of Bai and Ng (2002, 2004) for decomposing panel data into systematic and idiosyncratic components to both stock returns and turnover panels. This approach works well for both returns and turnover, despite the presence of severe heteroscedasticity and nonstationarity of individual stocks' turnover. We test the mutual fund separation model of Lo and Wang (2000). Trading due to systematic risk in returns can account for 66% of systematic turnover. Thus, portfolio rebalancing due to systematic risk is a very important motive for stock trading. Finally, several common turnover measures may understate the impact of stock trading.
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