The high volume return premium: Cross-country evidence

Ron Kaniel, Arzu Ozoguz and Laura Starks

Journal of Financial Economics, 2012, vol. 103, issue 2, 255-279

Abstract: We examine the high volume return premium across 41 different countries and find it to be a phenomenon found in both developed and emerging markets. The premium is not caused by systematic differences in risk or liquidity. Using Merton's (1987) investor recognition hypothesis as a guide, we find the magnitude of the premium is generally associated with country and firm characteristics hypothesized to affect returns subsequent to a change in a stock's visibility. We also characterize the time-series properties of the premium and consider economic trading strategies.

Keywords: Return premium; Volume; International stock markets (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (40)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:103:y:2012:i:2:p:255-279

DOI: 10.1016/j.jfineco.2011.08.012

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