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The high-volume return premium

Publication ,  Journal Article
Gervais, S; Kaniel, R; Mingelgrin, DH
Published in: Journal of Finance
January 1, 2001

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.

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Published In

Journal of Finance

DOI

ISSN

0022-1082

Publication Date

January 1, 2001

Volume

56

Issue

3

Start / End Page

877 / 919

Related Subject Headings

  • Finance
  • 3801 Applied economics
  • 3502 Banking, finance and investment
  • 1502 Banking, Finance and Investment
 

Citation

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Gervais, S., Kaniel, R., & Mingelgrin, D. H. (2001). The high-volume return premium. Journal of Finance, 56(3), 877–919. https://doi.org/10.1111/0022-1082.00349
Gervais, S., R. Kaniel, and D. H. Mingelgrin. “The high-volume return premium.” Journal of Finance 56, no. 3 (January 1, 2001): 877–919. https://doi.org/10.1111/0022-1082.00349.
Gervais S, Kaniel R, Mingelgrin DH. The high-volume return premium. Journal of Finance. 2001 Jan 1;56(3):877–919.
Gervais, S., et al. “The high-volume return premium.” Journal of Finance, vol. 56, no. 3, Jan. 2001, pp. 877–919. Scopus, doi:10.1111/0022-1082.00349.
Gervais S, Kaniel R, Mingelgrin DH. The high-volume return premium. Journal of Finance. 2001 Jan 1;56(3):877–919.
Journal cover image

Published In

Journal of Finance

DOI

ISSN

0022-1082

Publication Date

January 1, 2001

Volume

56

Issue

3

Start / End Page

877 / 919

Related Subject Headings

  • Finance
  • 3801 Applied economics
  • 3502 Banking, finance and investment
  • 1502 Banking, Finance and Investment