The High-Volume Return Premium

Simon Gervais ()

Journal of Finance, 2001, vol. 56, issue 3, pages 877-919

Abstract: The idea that extreme trading activity contains information about the future evolution of stock prices is investigated. We find that stocks experiencing unusually high (low) trading volume over a day or a week tend to appreciate (depreciate) over the course of the following month. We argue that this "high-volume return premium" is consistent with the idea that shocks in the trading activity of a stock affect its visibility, and in turn the subsequent demand and price for that stock. Return autocorrelations, firm announcements, market risk, and liquidity do not seem to explain our results. Copyright The American Finance Association 2001.

Date: 2001
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