VOLUME AND AUTOCOVARIANCES IN SHORT-HORIZON INDIVIDUAL SECURITY RETURNS

• 成果类型: Article
• 署名作者: CONRAD, JS; HAMEED, A; NIDEN, C
• 署名单位: National University of Singapore; University of Notre Dame
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.2307/2329187
• 发表日期: 1994
• 页码: 1305-1329
• 关键词: stock

摘要

This article tests for the relations between trading volume and subsequent returns patterns in individual securities' short-horizon returns that are suggested by such articles as Blume, Easley, and O'Hara (1994) and Campbell, Grossman, and Wang (1993). Using a variant of Lehmann's (1990) contrarian trading strategy, we find strong evidence of a relation between trading activity and subsequent autocovariances in weekly returns. Specifically, high-transaction securities experience price reversals, while the returns of low-transactions securities are positively autocovarying. Overall, information on trading activity appears to be an important predictor of the returns of individual securities.