Decomposing returns into market and stock speci?c components is commonpractice and forms the basis of popular asset pricing models. But what aboutvolume ? Can volume be decomposed in the same way as returns ? Lo andWang (2000), in a recent paper, suggest such a decomposition. Our paperis in this...

In this paper, we present a new methodology for modeling intraday volume which allows fora significant reduction in the Volume Weighted Average Price (VWAP) on orders risk. Theresults are obtained for the all stocks included in the CAC40 index at the beginning ofSeptember 2004. The idea of...

Based on the concept that the presence of liquidity frictions can increase the daily traded volume, we develop an extended version of the mixture of distribution hypothesis model (MDH) along the lines of Tauchen and Pitts (1983) to measure the liquidity portion of volume. Our approach relies on...

[eng] New investment management techniques and their impact on volatility . The growth of alternative investment has been considerable in recent years. However, the impact on markets or more precisely, on markets volatility, of the new induced management techniques is still not clear. In this...

High frequency transaction prices exhibit two major characteristics: they are discrete in level and only exist at random transaction dates. In this paper, we seek to model transaction price dynamics, taking into account these two features. We specify the transaction price process as a Markov...

In this paper, we present a new methodology for modeling intraday volume which allows for a reduction of the execution risk in VWAP (Volume Weighted Average Price) orders. The results are obtained for the all stocks included in the CAC40 index at the beginning of September 2004. The idea of...

We develop a model of the daily return-volume relationship which incorporates information and liquidity shocks. First, we distinguish between two trading strategies, information-based and liquidity-based trading and suggest that their respective impacts on returns and volume should be modeled...

Recent literature shows that the holy month of Ramadan exerts a positive influence on investor sentiment in predominantly Muslim countries. This anomaly has been found to be particularly pronounced in Turkey. We therefore examine whether mutual fund managers investing in Turkish stocks are able...

Observed by more than 1.5 billion Muslims, Ramadan is one of the most celebrated religious traditions in the world. We investigate stock returns during Ramadan for 14 predominantly Muslim countries over the years 1989–2007. The results show that stock returns during Ramadan are significantly...