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hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorDarolles, Serge*
hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorLe Fol, Gaëlle*
dc.date.accessioned2014-06-05T10:58:00Z
dc.date.available2014-06-05T10:58:00Z
dc.date.issued2014
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/13425
dc.language.isoenen
dc.subjectLiquidity
dc.subjectVolume
dc.subjectMarket portfolio
dc.subjectArbitrage
dc.subject.ddc658.1en
dc.subject.classificationjelG.G1.G11en
dc.subject.classificationjelG.G1.G14en
dc.subject.classificationjelC.C2.C21en
dc.titleTrading Volume and Arbitrage
dc.typeCommunication / Conférence
dc.description.abstractenDecomposing returns into market and stock specific components is common practice and forms the basis of popular asset pricing models. What about volume? Can volume be decomposed in the same way as returns? Lo and Wang (2000) suggest such a decomposition. Our paper contributes to this literature in two different ways. First, we provide a model to explain why volumes deviate from the benchmark. Our interpretation is in terms of arbitrage strategies and liquidity. Second, we propose a new efficient screening tool that allows practitioners to extract specific information from volume time series. We provide an empirical illustration of the relevance and the possible uses of our approach on daily data from the FTSE index from 2000 to 2002.
dc.identifier.citationpages121-131
dc.relation.ispartoftitleAnnual International Conference on Accounting & Finance. 2014
dc.relation.ispartofpublnameGlobal Science & Technology Forum
dc.relation.ispartofdate2014
dc.subject.ddclabelOrganisation et finances d'entreprisesen
dc.relation.conftitle4th Annual International Conference on Accounting and Finance (AF 2014)
dc.relation.confdate2014-04
dc.relation.confcityPhuket
dc.relation.confcountryTHAILAND
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.date.updated2017-02-21T08:31:37Z
hal.identifierhal-01632848*
hal.version1*
hal.update.actionupdateMetadata*
hal.author.functionaut
hal.author.functionaut


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