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The high volume return premium and economic fundamentals

Zijun Wang

Journal of Financial Economics, 2021, vol. 140, issue 1, 325-345

Abstract: Extending Kaniel et al. (2012) and many others, we present the first empirical evidence that indicates the high volume return premium is linked to economic fundamentals. The volume premium has strong predictive power for future industrial production growth and other macroeconomic indicators with or without controls for common equity pricing factors and business cycle variables. However, only a small portion of the volume premium can be attributed to its comovement with equity return factors and economic risk factors. Mispricing-based factor models also fail to adequately explain the return anomaly.

Keywords: High volume return premium; Economic fundamentals; Rational and mispricing-based asset pricing models (search for similar items in EconPapers)
JEL-codes: E44 G12 (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.jfineco.2020.10.006

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Handle: RePEc:eee:jfinec:v:140:y:2021:i:1:p:325-345