Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory
研究投资组合理论对股票交易量横截面行为的启示，基于两基金分离定理定义交易活动，发现数据不支持该定理，且换手率可由两因子线性模型近似。
"We examine the implications of portfolio theory for the cross-sectional behavior of equity trading volume. Two-fund separation theorems suggest a natural definition for trading activity: share turnover...We find strong evidence against two-fund separation, and a principal-components decomposition suggests that turnover is well approximated by a two-factor linear model" -- Abstract.