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High-Volume Return Premium on the Warsaw Stock Exchange: evidence, drivers, and strategy design

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  • Olga Sieradzan

    (AGH University of Krakow, Krakow, Poland)

  • Tomasz Wójtowicz

    (AGH University of Krakow, Krakow, Poland)

Abstract

This paper investigates the High-Volume Return Premium (HVRP) on the Warsaw Stock Exchange from 2002 to 2023. Building on prior research, it tests whether an unusually high trading volume predicts short-term return anomalies. Using daily data and long-only strategies based on relative trading volume, the study confirms the existence of the HVRP, with the strongest effects observed over one-day horizons, particularly for mid-cap and low-priced stocks. The premium weakens with longer holding periods and lower trading activity. These findings indicate that trading volume carries predictive information in an emerging market context and that volume-based signals can generate exploitable short-term return patterns. However, practical constraints such as transaction costs may limit the real-world profitability of such strategies.

Suggested Citation

  • Olga Sieradzan & Tomasz Wójtowicz, 2025. "High-Volume Return Premium on the Warsaw Stock Exchange: evidence, drivers, and strategy design," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 26(2), pages 265-290.
    • Handle: RePEc:agh:journl:v:26:y:2025:i:2:p:265-290
    DOI: 10.7494/manage.2025.26.2.265
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