Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model
推导了一个跨期资产定价模型，研究其对交易量和资产回报的含义。投资者只交易市场组合和对冲组合，实证识别了对冲组合并检验其两个理论性质。
ABSTRACT We derive an intertemporal asset pricing model and explore its implications for trading volume and asset returns. We show that investors trade in only two portfolios: the market portfolio, and a hedging portfolio that is used to hedge the risk of changing market conditions. We empirically identify the hedging portfolio using weekly volume and returns data for U.S. stocks, and then test two of its properties implied by the theory: Its return should be an additional risk factor in explaining the cross section of asset returns, and should also be the best predictor of future market returns.