The high volume return premium and economic fundamentals

• 成果类型: Article
• 署名作者: Wang, Zijun
• 署名单位: University of Texas System; University of Texas at San Antonio
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.10.006
• 发表日期: 2021
• 页码: 325-345
• 关键词: High volume return premium; Economic fundamentals; Rational and mispricing-based asset pricing models

摘要

Extending Kaniel et al. (2012) and many others, we present the first empirical evidence that indicates the high volume return premium is linked to economic fundamentals. The volume premium has strong predictive power for future industrial production growth and other macroeconomic indicators with or without controls for common equity pricing factors and business cycle variables. However, only a small portion of the volume premium can be attributed to its comovement with equity return factors and economic risk factors. Mispricing-based factor models also fail to adequately explain the return anomaly. (C) 2020 Elsevier B.V. All rights reserved.