[PDF] Abnormal Trading Volume And The Cross Section Of Stock Returns - eBooks Review

Abnormal Trading Volume And The Cross Section Of Stock Returns


Abnormal Trading Volume And The Cross Section Of Stock Returns
DOWNLOAD

Download Abnormal Trading Volume And The Cross Section Of Stock Returns PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Abnormal Trading Volume And The Cross Section Of Stock Returns book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page



Abnormal Trading Volume And The Cross Section Of Stock Returns


Abnormal Trading Volume And The Cross Section Of Stock Returns
DOWNLOAD
Author : Deok Hyeon Lee
language : en
Publisher:
Release Date : 2016

Abnormal Trading Volume And The Cross Section Of Stock Returns written by Deok Hyeon Lee and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.


Stocks with high trading volume outperform otherwise stocks for one week, but subsequently underperform at the longer horizon. We show that such time-varying predictability of trading volume is attributed to abnormal trading activity, which is not explained by past volume. Specifically, we find that the return forecasting power of abnormal trading activity is strongly positive up to five weeks ahead. In contrast, the predictive power of the expected trading activity is negative, and lasts for longer horizons. We further argue that behavioral biases and investors' attention induces abnormal trading activity, but its price impact is primarily related to behavioral biases. Overall evidence emphasizes the role of behavioral biases and investors' attention to explain trading volume.



Disagreement In Option Market And Cross Section Stock Returns


Disagreement In Option Market And Cross Section Stock Returns
DOWNLOAD
Author : Cai Zhu
language : en
Publisher:
Release Date : 2015

Disagreement In Option Market And Cross Section Stock Returns written by Cai Zhu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.


In the paper, we find out that there is a significant relation between option trading volume and open interest distributions across various strike levels and expected stock returns. Specifically, we construct volume and open interest weighted option strike dispersions. Portfolio level analysis and firm-level cross-sectional regression both indicate a negative and significant relation between expected returns and option strike dispersion. The results are consistent with Miller (1977) theory. The option strike dispersion can be regarded as a proxy for investors' belief dispersion. Long-short strategy purchasing stocks with low option strike dispersion and shorting those with high option strike dispersion earns annualized abnormal return 14.05% with sharp ratio 0.79.



Volume Based Portfolio Strategies


Volume Based Portfolio Strategies
DOWNLOAD
Author : Alexander Brändle
language : en
Publisher: Springer Science & Business Media
Release Date : 2010-06-28

Volume Based Portfolio Strategies written by Alexander Brändle and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-06-28 with Business & Economics categories.


Alexander Brändle investigates the relationship between different measures of trading volume and returns in the Swiss stock market. He discovers that stocks with unusual trading volume in a given month experience systematically higher subsequent returns.



Volume Based Portfolio Strategies


Volume Based Portfolio Strategies
DOWNLOAD
Author :
language : en
Publisher:
Release Date : 2010

Volume Based Portfolio Strategies written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.


Alexander Brändle investigates the relationship between different measures of trading volume and returns in the Swiss stock market. He discovers that stocks with unusual trading volume in a given month experience systematically higher subsequent returns. This abnormal volume effect is particularly strong in uncertain market situations including the 2008 downturn.



Stock Market Anomalies


Stock Market Anomalies
DOWNLOAD
Author : Elroy Dimson
language : en
Publisher: CUP Archive
Release Date : 1988-03-17

Stock Market Anomalies written by Elroy Dimson and has been published by CUP Archive this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988-03-17 with Business & Economics categories.




Three Essays On Trading Volume


Three Essays On Trading Volume
DOWNLOAD
Author : Guohua Ma
language : en
Publisher:
Release Date : 2007

Three Essays On Trading Volume written by Guohua Ma and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.


Keywords. Trading Volume, Heterogeneous Beliefs, Disposition Effect, Informational Trading, Liquidity Trading



Abnormal Trading Volume Stock Returns And The Momentum Effects


Abnormal Trading Volume Stock Returns And The Momentum Effects
DOWNLOAD
Author :
language : en
Publisher:
Release Date : 2001

Abnormal Trading Volume Stock Returns And The Momentum Effects written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.


This paper intends to study the intermediate-term momentum and long-term reversal of stock prices by investigating the informational role of unusual trading volume for winner and loser stocks. I argue that unusual trading volume has different implications for winner and loser stocks. Specifically, high trading volume for losers is driven by purchases made by informed investors; while high trade volume for winners could be driven by either information or representativeness bias or both. The arguments are tested in the paper by showing that in the short run, losers/winners with high abnormal trading volume outperform losers/winners with low abnormal trading volume; while in the long run, the high-volume premium will be eliminated. Finally, I show that momentum profit is higher and more persistent among stocks with low abnormal trading since the loser with low volume bounces back slowly but winners with high volume fall faster and with greater magnitude.



Essays On Stock Trading Volume Volatility And Information


Essays On Stock Trading Volume Volatility And Information
DOWNLOAD
Author : Hanfeng Wang
language : en
Publisher: Open Dissertation Press
Release Date : 2017-01-27

Essays On Stock Trading Volume Volatility And Information written by Hanfeng Wang and has been published by Open Dissertation Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-01-27 with categories.


This dissertation, "Essays on Stock Trading Volume, Volatility and Information" by Hanfeng, Wang, 王漢鋒, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. Abstract: Abstract of the thesis entitled Essays on Stock Trading Volume, Volatility and Information Submitted By Hanfeng WANG For the Degree of Doctor of Philosophy at the University of Hong Kong in June 2007 We focus on three topics that relate to trading volume in stock market in this thesis. In the first essay we find that trading volume not only contributes positively to the contemporaneous volatility, as indicated in previous literature, but also contributes negatively to the subsequent volatility. This pattern between trading volume and volatility is consistently held among individual stocks, volume-based portfolios, size-based portfolios, and market index, and among daily data and weekly data. These empirical findings tend to support that the Information-Driven-Trade (IDT) hypothesis is more pervasive and powerful in explaining trading activities in the stock market than the Liquidity-Driven-Trade (LDT) hypothesis. Our additional tests obtain three interesting findings, 1) liquidity and the degree of information asymmetry influence the relation between volume and subsequent volatility, 2) the effect of volume on subsequent volatility and volume size have a non-linear relationship, indicating that at least empirically there exists a most information-intensive volume for each stock, which is consistent with Barclay and Warner (1993, JFE)'s finding, 3) the effect of volume on subsequent volatility is asymmetric when the stock price moves up and down, and we attribute this asymmetry to the short-selling constraints. 2 In the second essay we examine the price and trading volume reaction around annual earnings announcements in the Chinese A-share and B-share markets. We document a reverting pattern in the CAR series around earnings announcement in A share market while the behavior of the CAR series in B share market is quite similar to that found in developed markets. We argue that the difference may be due to that some of the A share investors overreact to the information before the earnings announcement. Additionally, abnormally high volume occurs around the earnings announcement, in both A-share and B-share markets, however, contrary to abnormally high volume several days before the announcement in B-share market, abnormally low volume exists several days prior to the announcement in A-share market. Through cross-sectional analysis we find that abnormal trading volume on the announcement day, taken as an index of the surprise of earnings announcement, and the responsiveness of the market are positively correlated, and that the average return before the announcement is negatively correlated with the CAR after the announcement, which supports the A-share investors' overreaction to earnings announcement. We also find some evidence that A-share investors tend to be influenced by the market conditions. In the third essay we review the literature on herding behavior in financial market and build a new empirical model based on stock trading volume to detect the overall market herding behavior. With the model we find that in the Chinese stock market there is herding when the market moves up and there is no or little evidence of herding when the market moves down. For comparison we also extend the test to other international markets. Based on the empirical results we document with the Chinese market data we suggest canceling t



Stock Market Structure Volatility And Volume


Stock Market Structure Volatility And Volume
DOWNLOAD
Author : Hans R. Stoll
language : en
Publisher:
Release Date : 1990

Stock Market Structure Volatility And Volume written by Hans R. Stoll and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with Business & Economics categories.




Individual Investors And Volatility


Individual Investors And Volatility
DOWNLOAD
Author : Thierry Foucault
language : en
Publisher:
Release Date : 2013

Individual Investors And Volatility written by Thierry Foucault and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.


We show that retail trading activity has a positive effect on the volatility of stock returns. To identify this effect, we use a reform of the French stock market that triggers a drop in retail trading activity by raising the relative cost of speculative trading for retail investors. The daily return volatility of the stocks affected by the reform falls by twenty basis points (a quarter of the sample standard deviation of the return volatility) relative to other stocks. For affected stocks, we also find a significant decrease in the magnitude of return reversals and the price impact of trades. We argue that these findings are consistent with the view that some retail investors behave as noise traders.