High-volume return premium on the stock markets in Warsaw and Vienna

Tomasz Wójtowicz ()

Bank i Kredyt, 2017, vol. 48, issue 4, 375-402

Abstract: In this paper we analyze the properties of the high-volume return premium on the Warsaw Stock Exchange and on the Vienna Stock Exchange. The premium arises from the different behaviour of returns of stocks with unusually high trading volume and stocks with unusually low relative trading volume. The analysis of monthly returns confirms the existence of the high-volume return premium on the WSE and shows significantly positive returns of volume-based portfolios. Our study also indicates the insignificance of the high-volume return premium on the Vienna Stock Exchange, where an adverse effect of large companies is observed. The paper also examines possible factors that impact the magnitude of the premium on the WSE. We find that returns of volume portfolios depend on firms’ capitalization and momentum. However, the Fama-French four-factor asset pricing model does not explain the premium or the differences in returns of volume portfolios.

Keywords: extreme volume; high-volume return premium; asset pricing; risk factors (search for similar items in EconPapers)
JEL-codes: C14 C32 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://bankikredyt.nbp.pl/content/2017/04/BIK_04_2017_02.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbp:nbpbik:v:48:y:2017:i:4:p:375-402

Access Statistics for this article

More articles in Bank i Kredyt from Narodowy Bank Polski Contact information at EDIRC.
Bibliographic data for series maintained by Wojciech Burjanek ().