The Real Side of the High-Volume Return Premium

• 成果类型: Article
• 署名作者: Israeli, Doron; Kaniel, Ron; Sridharan, Suhas A.
• 署名单位: Reichman University; Nazarbayev University; University of Rochester; Center for Economic & Policy Research (CEPR); Emory University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2020.3886
• 发表日期: 2022
• 页码: 1426-1449
• 关键词: TRADING VOLUME; Corporate investment; financing cash flows; INVESTOR RECOGNITION

摘要

Prior literature demonstrates that increased trading activity of a firm's stock is associated with abnormal future stock returns (the high-volume return premium) and interprets this phenomenon as evidence that increased visibility generates reductions in cost of capital. Motivated by this interpretation, we investigate whether increased trading activity entails changes in real corporate actions. We document a positive relation between abnormal trading volume, future investment expenditures, and financing cash flows. This positive relation is not subsumed by the arrival of investment-related news or other corporate disclosures or by subsequent earnings information and is concentrated among firms with high financial constraints and firms with lower levels of investor recognition.