The high volume return premium: Cross-country evidence

• 成果类型: Article
• 署名作者: Kaniel, Ron; Ozoguz, Arzu; Starks, Laura
• 署名单位: University of Texas System; University of Texas Austin; University of Rochester; University of Texas System; University of Texas Dallas; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2011.08.012
• 发表日期: 2012
• 页码: 255-279
• 关键词: Return premium; volume; International stock markets

摘要

We examine the high volume return premium across 41 different countries and find it to be a phenomenon found in both developed and emerging markets. The premium is not caused by systematic differences in risk or liquidity. Using Merton's (1987) investor recognition hypothesis as a guide, we find the magnitude of the premium is generally associated with country and firm characteristics hypothesized to affect returns subsequent to a change in a stock's visibility. We also characterize the time-series properties of the premium and consider economic trading strategies. (C) 2011 Elsevier B.V. All rights reserved.