Price momentum and trading volume

• 成果类型: Article
• 署名作者: Lee, CMC; Swaminathan, B
• 署名单位: Cornell University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00280
• 发表日期: 2000
• 页码: 2017-2069
• 关键词: investment strategies; MARKET OVERREACTION; SECURITY RETURNS; performance; EFFICIENCY; BEHAVIOR; winners; stocks; losers

摘要

This study shows that past trading volume provides an important link between momentum and value strategics. Specifically, we find that firms with high (low) past turnover ratios exhibit many glamour (value) characteristics, earn lower (higher) future returns, and have consistently more negative (positive) earnings surprises over the next eight quarters. Past trading volume also predicts both the magnitude and persistence of price momentum. Specifically price momentum effects reverse over the next five years, and high (low) volume winners (losers) experience faster reversals. Collectively, our findings show that past volume helps to reconcile intermediate-horizon underreaction and long-horizon overreaction effects.