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The high volume return premium and economic fundamentals

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  • Wang, Zijun

Abstract

Extending Kaniel et al. (2012) and many others, we present the first empirical evidence that indicates the high volume return premium is linked to economic fundamentals. The volume premium has strong predictive power for future industrial production growth and other macroeconomic indicators with or without controls for common equity pricing factors and business cycle variables. However, only a small portion of the volume premium can be attributed to its comovement with equity return factors and economic risk factors. Mispricing-based factor models also fail to adequately explain the return anomaly.

Suggested Citation

  • Wang, Zijun, 2021. "The high volume return premium and economic fundamentals," Journal of Financial Economics, Elsevier, vol. 140(1), pages 325-345.
    • Handle: RePEc:eee:jfinec:v:140:y:2021:i:1:p:325-345
    DOI: 10.1016/j.jfineco.2020.10.006
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    More about this item

    Keywords

    High volume return premium; Economic fundamentals; Rational and mispricing-based asset pricing models;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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