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The high volume return premium: Cross-country evidence

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  • Kaniel, Ron
  • Ozoguz, Arzu
  • Starks, Laura
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    Abstract

    We examine the high volume return premium across 41 different countries and find it to be a phenomenon found in both developed and emerging markets. The premium is not caused by systematic differences in risk or liquidity. Using Merton's (1987) investor recognition hypothesis as a guide, we find the magnitude of the premium is generally associated with country and firm characteristics hypothesized to affect returns subsequent to a change in a stock's visibility. We also characterize the time-series properties of the premium and consider economic trading strategies.

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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Financial Economics.

    Volume (Year): 103 (2012)
    Issue (Month): 2 ()
    Pages: 255-279

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    Handle: RePEc:eee:jfinec:v:103:y:2012:i:2:p:255-279

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    Web page: http://www.elsevier.com/locate/inca/505576

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    Keywords: Return premium; Volume; International stock markets;

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    Cited by:
    1. García, Diego & Norli, Øyvind, 2012. "Geographic dispersion and stock returns," Journal of Financial Economics, Elsevier, vol. 106(3), pages 547-565.

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