The high-volume return premium

Published

Journal Article

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.

Full Text

Duke Authors

Cited Authors

  • Gervais, S; Kaniel, R; Mingelgrin, DH

Published Date

  • January 1, 2001

Published In

Volume / Issue

  • 56 / 3

Start / End Page

  • 877 - 919

International Standard Serial Number (ISSN)

  • 0022-1082

Digital Object Identifier (DOI)

  • 10.1111/0022-1082.00349

Citation Source

  • Scopus