Volume and Autocovariances in Short-Horizon Individual Security Returns

Jennifer S Conrad, Allaudeen Hameed and Cathy Niden

Journal of Finance, 1994, vol. 49, issue 4, 1305-29

Abstract: This article tests for the relations between trading volume and subsequent returns patterns in individual securities' short-horizon returns that are suggested by such articles as L. Blume, D. Easley, and M. O'Hara (1994) and J. Y. Campbell, S. J. Grossman, and J. Wang (1993). Using a variant of B. Lehmann's (1990) contrarian trading strategy, the authors find strong evidence of a relation between trading activity and subsequent autocovariances in weekly returns. Specifically, high-transaction securities experience price reversals, while the returns of low-transactions securities are positively autocovarying. Overall, information on trading activity appears to be an important predictor of the returns of individual securities. Copyright 1994 by American Finance Association.

Date: 1994
References: Add references at CitEc
Citations: View citations in EconPapers (116)

Downloads: (external link)
http://links.jstor.org/sici?sici=0022-1082%2819940 ... O%3B2-O&origin=repec full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

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:bla:jfinan:v:49:y:1994:i:4:p:1305-29

Ordering information: This journal article can be ordered from
http://www.afajof.org/membership/join.asp

Access Statistics for this article

More articles in Journal of Finance from American Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().