Turning over Turnover
用Bai和Ng的方法将面板数据分解为系统性和特质性成分，分析股票收益和换手率，发现系统性风险导致的交易能解释66%的系统性换手率，说明组合再平衡是股票交易的重要动机。
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. , Oxford University Press.