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Investment-Horizon Spillovers

Listed author(s):
  • Alexander M. Chinco
  • Mao Ye
Registered author(s):

    This paper uses wavelets to decompose each stock’s trading-volume variance into frequency-specific components. We find that stocks dominated by short-run fluctuations in trading volume have abnormal returns that are 1% per month higher than otherwise similar stocks where short-run fluctuations in volume are less important—i.e., stocks with less of a short-run tilt. And, we document that a stock’s short-run tilt can change rapidly from month to month, suggesting that these abnormal returns are not due to some persistent firm characteristic that’s simultaneously adding both short-run fluctuations and long-term risk.

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    Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 23650.

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    Date of creation: Aug 2017
    Handle: RePEc:nbr:nberwo:23650
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