TRADING-VOLUME SHOCKS AND STOCK RETURNS: AN EMPIRICAL ANALYSIS

TRADING-VOLUME SHOCKS AND STOCK RETURNS: AN EMPIRICAL ANALYSIS

We examine high‐volume premiums based on weekly risk‐adjusted returns. Significant average weekly abnormal high‐volume premiums up to 0.50% per week are documented for 1962–2005. Most premiums are generated in the first two weeks and monotonically decline as holding periods are extended. Evidence of...

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Veröffentlicht in:The Journal of financial research 2010-06, Vol.33 (2), p.153-177
Hauptverfasser: Huang, Zhaodan, Heian, James B.
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Sprache:eng
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Economic theory
G12
G14
Return on investment
Securities analysis
Skewness
Studies
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description We examine high‐volume premiums based on weekly risk‐adjusted returns. Significant average weekly abnormal high‐volume premiums up to 0.50% per week are documented for 1962–2005. Most premiums are generated in the first two weeks and monotonically decline as holding periods are extended. Evidence of reversal is found as the holding periods are extended. Premiums depend on realized turnover in the holding period. The last finding supports the theories of Miller and Merton. Finally, we test whether premiums are compensation for taking additional risk. Negative skewness, idiosyncratic risk, and liquidity risk do not explain the high‐volume premiums.
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source RePEc; Business Source Complete; Wiley Online Library All Journals
subjects Economic theory
G12
G14
Return on investment
Securities analysis
Skewness
Studies
title TRADING-VOLUME SHOCKS AND STOCK RETURNS: AN EMPIRICAL ANALYSIS
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