Trading-Volume Shocks And Stock Returns: An Empirical Analysis
AbstractAbstract We examine high-volume premiums based on weekly risk-adjusted returns. Significant average weekly abnormal high-volume premiums up to 0.50% per week are documented for 1962-2005. Most premiums are generated in the first two weeks and monotonically decline as holding periods are extended. Evidence of reversal is found as the holding periods are extended. Premiums depend on realized turnover in the holding period. The last finding supports the theories of Miller and Merton. Finally, we test whether premiums are compensation for taking additional risk. Negative skewness, idiosyncratic risk, and liquidity risk do not explain the high-volume premiums. Copyright (c) 2010 The Southern Finance Association and the Southwestern Finance Association.
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Bibliographic InfoArticle provided by Southern Finance Association & Southwestern Finance Association in its journal Journal of Financial Research.
Volume (Year): 33 (2010)
Issue (Month): 2 ()
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