The high-volume return premium

• 成果类型: Article
• 署名作者: Gervais, S; Kaniel, R; Mingelgrin, DH
• 署名单位: University of Pennsylvania; University of Texas System; University of Texas Austin; University of Pennsylvania
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00349
• 发表日期: 2001
• 页码: 877-919
• 关键词: TRADING VOLUME; stock-prices; DISTRIBUTIONS HYPOTHESIS; MARKET-EFFICIENCY; COMPUTED RETURNS; INFORMATION; earnings; opinion; MODEL; tests

摘要

The idea that extreme trading activity contains information about the future evolution of stock prices is investigated. We find that stocks experiencing unusually high (low) trading volume over a day or a week tend to appreciate (depreciate) over the course of the following month. We argue that this high-volume return premium is consistent with the idea that shocks in the trading activity of a stock affect its visibility, and in turn the subsequent demand and price for that stock. Return autocorrelations, firm announcements, market risk, and liquidity do not seem to explain our results.