Volume and Volatility in a Common-Factor Mixture of Distributions Model
构建多资产混合分布假设模型，研究股票收益与成交量的共同因子，发现收益与成交量的因子结构独立，且波动-成交量正相关仅源于信息流的动态特征，市场层面实证支持这些预测。
Abstract This paper develops a multi-asset mixture distribution hypothesis model to investigate commonality in stock returns and trading volume. The model makes two main predictions: First, the factor structures of returns and trading volume are independent although they stem from the same valuation fundamentals and jointly depend on a latent information flow; second, cross-sectional positive volatility-volume relations arise solely from the dynamic features of the information flow. Empirical analyses at the market level support these predictions. Furthermore, the results indicate that removing the information flow significantly reduces the return volatility persistence and the extent of the reduction exhibits a size pattern.