The High - Volumem Return Premium  

Oleh:

Gervais, Simon ; Kaniel, Ron

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 56 no. 3 (2001), page 877-919.
Topik: PREMIUM; studies; securities trading volume; stock prices; correlation analysis; rates of return
Fulltext: p 877.pdf (354.47KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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The idea that extreme trading activity contains information about the future evolution of stock prices is investigated. It is found that stocks experiencing unusually high trading volume over a day or a week tend to appreciate over the course of the following month. It is argued 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 the results.

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