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The high volume return premium: Cross-country evidence

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

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.

Suggested Citation

  • Kaniel, Ron & Ozoguz, Arzu & Starks, Laura, 2012. "The high volume return premium: Cross-country evidence," Journal of Financial Economics, Elsevier, vol. 103(2), pages 255-279.
    • Handle: RePEc:eee:jfinec:v:103:y:2012:i:2:p:255-279
    DOI: 10.1016/j.jfineco.2011.08.012
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    More about this item

    Keywords

    Return premium; Volume; International stock markets;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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