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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.accessioned2014-09-09T12:14:00Z
dc.date.available2014-09-09T12:14:00Z
dc.date.issued2014
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/13938
dc.language.isoenen
dc.subjectVolumeen
dc.subjectMarket portfolioen
dc.subjectArbitrageen
dc.subjectLiquidityen
dc.subject.ddc658.1en
dc.subject.classificationjelC.C2.C21en
dc.subject.classificationjelG.G1.G11en
dc.subject.classificationjelG.G1.G14en
dc.titleTrading volume and Arbitrageen
dc.typeArticle accepté pour publication ou publié
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.en
dc.relation.isversionofjnlnameGSTF : Journal on Business Review
dc.relation.isversionofjnlvol3en
dc.relation.isversionofjnlissue3en
dc.relation.isversionofjnldate2014
dc.relation.isversionofjnlpages30-39en
dc.relation.isversionofjnlpublisherGSTFen
dc.subject.ddclabelOrganisation et finances d'entreprisesen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
hal.identifierhal-01632841*
hal.version1*
hal.update.actionupdateMetadata*
hal.update.actionupdateFiles*
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