Abnormal Trading Volume Stock Returns And The Momentum Effects
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Abnormal Trading Volume Stock Returns And The Momentum Effects
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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.
Abnormal Trading Volume And The Cross Section Of Stock Returns
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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.
Essays On Momentum Autoregressive Returns And Conditional Volatility Evidence From The Saudi Stock Market
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Author : Abdullah Alsubaie
language : en
Publisher:
Release Date : 2007
Essays On Momentum Autoregressive Returns And Conditional Volatility Evidence From The Saudi Stock Market written by Abdullah Alsubaie and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Stock exchanges categories.
The second essay examines the relationship between abnormal changes in trading volume of both firms and portfolio levels, and the short-term price autoregressive behavior in the SSM. The objective is to investigate the informational role that trading volume plays in predicting the direction of short-term returns. I evaluate whether the abnormal change in lagged, contemporaneous, and lead turnover affects serial correlation in returns. Consistent with the prediction of Campbell, Grossman, and Wang (1993) model, the result of this essay indicates that lagged abnormal change in trading volume lead to reversal in consecutive weekly returns. Contemporaneous and lead changes in volume provide mixing results.
Evidence Of Stock Returns And Abnormal Trading Volume
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Author : Cathy W. S. Chen
language : en
Publisher:
Release Date : 2015
Evidence Of Stock Returns And Abnormal Trading Volume written by Cathy W. S. Chen 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.
This paper presents a CAPM-based threshold quantile regression model with GARCH specification to examine relations between stock excess returns and “abnormal trading volume.” By employing the Bayesian MCMC method with asymmetric Laplace distribution to six daily Dow Jones Industrial stocks, the proposed model captures asymmetric risk through market beta and volume coefficient that change discretely between regimes that are driven by market information and various quantile levels. This study finds significantly negative effects of abnormal volume on stock excess return under low quantile levels, nevertheless there are significantly positive effects under high quantile levels. The evidence indicates that each market beta varies with different quantile levels, capturing different states of market conditions.
The Effect Of Dow Jones Industrial Average Index Component Changes On Stock Returns And Trading Volumes
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Author : Eric C. Lin
language : en
Publisher:
Release Date : 2018
The Effect Of Dow Jones Industrial Average Index Component Changes On Stock Returns And Trading Volumes written by Eric C. Lin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
This study examines the impact of index membership changes in Dow Jones Industrial Average (DJIA) Index on the return and trading volume of the affected stock. We make two key contributions to the literature. First, we employ a robust event study methodology based on Fama-French Momentum Model with EGARCH to explore the price/volume dynamics associated with DJIA Index additions and deletions. Second, we extend earlier work by incorporating all index reconstitution announcements after Dow Jones & Company began preannouncing index changes in 1990. Our results show that index additions (deletions) experience temporary increases (decreases) in stock prices following the announcement. The abnormal returns surrounding the announcements are economically and statistically significant. In addition, both inclusions and removals lead to temporary abnormal trading volume increases in the post-announcement period. However, the stock prices and trading volumes revert within a few trading days. Our findings are consistent with the price pressure hypothesis as the documented abnormal returns and trading volumes are not permanent.
Trading Volume Return Variability And Short Term Momentum
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Author : Umut Gokcen
language : en
Publisher:
Release Date : 2015
Trading Volume Return Variability And Short Term Momentum written by Umut Gokcen 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.
We examine the hypothesis that stock prices underreact to corporate news and that trading volume and return variability are proxies for latent news flow. Consistent with this notion, we find that that price continuation and potential momentum profits are larger after elevated levels of volume and variability. This conditional momentum effect is not driven by micro-cap stocks and robust to corrections for systematic risk factors and stock characteristics such as liquidity and credit quality.
Momentum And Reversals In Equity Index Returns During Periods Of Abnormal Turnover And Return Dispersion
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Author : Robert A. Connolly
language : en
Publisher:
Release Date : 2012
Momentum And Reversals In Equity Index Returns During Periods Of Abnormal Turnover And Return Dispersion written by Robert A. Connolly and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
We document new patterns in the dynamics between stock returns and trading volume. Specifically, we find substantial momentum (reversals) in consecutive weekly returns when the latter week has unexpectedly high (low) turnover. This pattern is evident in equity indices, index futures, and individual stocks. Similarly, we also find that the autocorrelation in equity-index returns is increasing with the unexpected dispersion across the latter week's firm-level returns. Weeks with extreme turnover and dispersion shocks (both high and low) tend to have more macroeconomic news releases. Our findings bear on understanding price formation and the economic interpretation of turnover and dispersion shocks.
Individual Investors And Volatility
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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.
Beyond The Random Walk A Guide To Stock Market Anomalies And Low Risk Investing
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Author : Vijay Singal
language : en
Publisher: Oxford University Press, USA
Release Date : 2003-12-04
Beyond The Random Walk A Guide To Stock Market Anomalies And Low Risk Investing written by Vijay Singal and has been published by Oxford University Press, USA this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-12-04 with Business & Economics categories.
In an efficient market, all stocks should be valued at a price that is consistent with available information. But as financial expert Vijay Singal, Ph.D., CFA, points out, there are circumstances under which certain stocks sell at a price higher or lower than the right price. In Beyond the Random Walk, Singal discusses ten such anomalous prices and shows how investors might--or might not--be able to exploit these situations for profit. The author distills several decades of academic research into a focused discussion of market anomalies that is both accessible and useful to people with varied backgrounds. Past empirical evidence is supplemented with author's own research using more recent data. Anomalies covered include the "December Effect," "Momentum in Industry Stocks," "S&P 500 Index Changes," "Trading by Insiders," and "Merger Arbitrage." In each chapter, the author describes the particular anomaly, explains how it occurs, shows ways to take advantage of the anomaly, and highlights the risks involved. We learn, for example, that shares of stocks that have appreciated in recent months become scarce in late December, because investors wait until January before they sell (to postpone payment of taxes on profits). This scarcity drives the price up--the "December Effect"--and smart buyers can make the equivalent of 75% annual return on a five-day investment. Each chapter includes suggestions for further reading as well as tables and graphs that support the discussion. The book concludes with a preview of many other interesting anomalies and a section on how investor behavior might influence prices. Clearly written and informative, this well-researched volume is a must read for investors, traders, market specialists, and students of financial markets.
News Not Trading Volume Builds Momentum
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Author : James S. Scott
language : en
Publisher:
Release Date : 2009
News Not Trading Volume Builds Momentum written by James S. Scott and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
Recent research has found that price momentum and trading volume appear to predict subsequent stock returns in the U.S. market and that they seem to do so in a nonlinear fashion. Specifically, the effect of momentum appears more pronounced among high-volume stocks than among low-volume stocks. This effect would suggest the existence of an exploitable deviation from market efficiency. We argue that this phenomenon is a result of the underreaction of investors to earnings news - an effect that is most pronounced for high-growth companies. We show that, after earnings-related news and a stock's growth rate have been controlled for, the interaction between momentum and volume largely disappears.
