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Trading volume and time varying betas.

Hrdlicka, Christopher Michael.

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Trading volume and time varying betas.

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Trading volume and time varying betas./
Author:	Hrdlicka, Christopher Michael.
Description:	117 p.
Notes:	Source: Dissertation Abstracts International, Volume: 71-07, Section: A, page: 2356.
Contained By:	Dissertation Abstracts International71-07A.
Subject:	Education, Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3408540
ISBN:	9781124048789

Trading volume and time varying betas.
Hrdlicka, Christopher Michael.

Trading volume and time varying betas. - 117 p.

Source: Dissertation Abstracts International, Volume: 71-07, Section: A, page: 2356.

Thesis (Ph.D.)--The University of Chicago, 2010.

An investor with higher than average background risk hedges by holding fewer equities exposed to that risk. As the risk exposure or beta of those equities changes over time the investor's optimal hedge varies. In contrast to many other models of volume, I model the trading volume generated to maintain this hedge under symmetric information. The pattern of predicted volume matches three stylized facts: volume and absolute price changes are positively correlated; more volume accompanies price increases than price decreases; and higher volume accompanying a price change increases the likelihood of its reversal. I verify three new predictions of my model: volume and beta changes are positively correlated; more volume accompanies beta decreases than beta increases; and the volume response to a beta change decreases with the initial beta level. The sensitivity of turnover to beta changes is economically large. A one standard deviation change in beta increases annual expected turnover between 30% and 50%.

ISBN: 9781124048789Subjects--Topical Terms:

1020300
Education, Finance.

Trading volume and time varying betas.
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020 $a 9781124048789
035 $a (UMI)AAI3408540
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100 1 $a Hrdlicka, Christopher Michael. $3 1675892
245 1 0 $a Trading volume and time varying betas.
300 $a 117 p.
500 $a Source: Dissertation Abstracts International, Volume: 71-07, Section: A, page: 2356.
500 $a Adviser: John H. Cochrane.
502 $a Thesis (Ph.D.)--The University of Chicago, 2010.
520 $a An investor with higher than average background risk hedges by holding fewer equities exposed to that risk. As the risk exposure or beta of those equities changes over time the investor's optimal hedge varies. In contrast to many other models of volume, I model the trading volume generated to maintain this hedge under symmetric information. The pattern of predicted volume matches three stylized facts: volume and absolute price changes are positively correlated; more volume accompanies price increases than price decreases; and higher volume accompanying a price change increases the likelihood of its reversal. I verify three new predictions of my model: volume and beta changes are positively correlated; more volume accompanies beta decreases than beta increases; and the volume response to a beta change decreases with the initial beta level. The sensitivity of turnover to beta changes is economically large. A one standard deviation change in beta increases annual expected turnover between 30% and 50%.
590 $a School code: 0330.
650 4 $a Education, Finance. $3 1020300
650 4 $a Business Administration, General. $3 1017457
650 4 $a Economics, Commerce-Business. $3 626649
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690 $a 0310
690 $a 0505
710 2 $a The University of Chicago. $b Business. $3 1671506
773 0 $t Dissertation Abstracts International $g 71-07A.
790 1 0 $a Cochrane, John H., $e advisor
790 1 0 $a Heaton, John C. $e committee member
790 1 0 $a Constantinides, George M. $e committee member
790 1 0 $a Koijen, Ralph S.J. $e committee member
790 $a 0330
791 $a Ph.D.
792 $a 2010
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3408540