The cross-section of expected trading activity

• 成果类型: Article
• 署名作者: Chordia, Tarun; Huh, Sahn-Wook; Subrahmanyam, Avanidhar
• 署名单位: University of California System; University of California Los Angeles; Emory University; Brock University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhl014
• 发表日期: 2007
• 页码: 709
• 关键词: stock-market; price formation; volume; INFORMATION; equilibrium; investors; volatility; patterns; returns; opinion

摘要

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.