The Cross-Section of Expected Trading Activity
利用约40年NYSE/AMEX和Nasdaq股票数据，检验交易活动是否受流动性交易、知情交易者数量以及基本面价值不确定性和意见分歧的影响，结果支持基于股票可见性、投资组合再平衡需求、意见分歧和基本面不确定性的交易理论。
This article studies cross-sectional variations in trading activity for a comprehensive sample of NYSE/AMEX and Nasdaq stocks over a period of about 40 years. We test whether trading activity depends upon the degree of liquidity trading, the mass of informed traders, and the extent of uncertainty and dispersion of opinion about fundamental values. We hypothesize that liquidity (or noise) trading depends both on a stock’s visibility and on portfolio rebalancing needs triggered by past price performance. We use firm size, age, price, and the book-to-market ratio as proxies for a firm’s visibility. The mass of informed agents is proxied by the number of analysts whereas forecast dispersion and firm leverage proxy for differences of opinion. Earning volatility and absolute earning surprises proxy for uncertainty about fundamental values. Overall, the results provide support for theories of trading based on stock visibility, portfolio rebalancing needs, differences of opinion, and uncertainty about fundamental values.