Trading activity and expected stock returns

• 成果类型: Article
• 署名作者: Chordia, T; Subrahmanyam, A; Anshuman, VR
• 署名单位: University of California System; University of California Los Angeles; Emory University; Indian Institute of Management (IIM System); Indian Institute of Management Bangalore
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(00)00080-5
• 发表日期: 2001
• 页码: 3-32
• 关键词: Asset pricing; anomalies; liquidity

摘要

Given the evidence that the level of liquidity affects asset returns, a reasonable hypothesis is that the second moment of liquidity should be positively related to asset returns, provided agents care about the risk associated with fluctuations in liquidity. Motivated by this observation, we analyze the relation between expected equity returns and the level as well as the volatility of trading activity, a proxy for liquidity. We document a result contrary to our initial hypothesis, namely, a negative and surprisingly strong cross-sectional relationship between stock returns and the variability of dollar trading volume and share turnover, after controlling for size, book-to-market ratio, momentum, and the level of dollar volume or share turnover. This effect survives a number of robustness checks, and is statistically and economically significant. Our analysis demonstrates the importance of trading activity-related variables in the cross-section of expected stock returns. (C) 2001 Elsevier Science S.A. All rights reserved. JEL classification: G12; G14.