Evidence Of Stock Returns And Abnormal Trading Volume
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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.
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.
The Information Content Of Abnormal Trading Volume
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Author : Emanuele Bajo
language : en
Publisher:
Release Date : 2005
The Information Content Of Abnormal Trading Volume written by Emanuele Bajo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
The role of abnormal trading volume on the Italian Stock Market is investigated here. According to Fama's definition of Market Efficiency, no relevancy is left for trading volume. Prices fully reflect the whole firm information, so that extra trading investor's activity cannot have any informative power. In this paper, it is supposed that abnormal volumes can be considered as a signal for informed traders operating on the stocks and, as a consequence, this extra trading activity might lead to future extra-returns. Some evidence following this hypothesis is found on this paper. Abnormal trading volume, associated with no new announcements, tends to predict future abnormal returns and anticipates a new information release on stock market. A profitable possible portfolio strategy based on abnormal volume signals is also proposed and analysed.
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.
The Information Content Of Abnormal Trading Volume
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Author : Emanuele Bajo
language : en
Publisher:
Release Date : 2010
The Information Content Of Abnormal Trading Volume written by Emanuele Bajo 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.
This paper empirically investigates how abnormal trading volume reveals new information to market participants. Trading volume is generally regarded as a good proxy for information flow and theory argues that it enhances the information set of investors. However, as yet, no research has related the presence of abnormal trading volume to firm characteristics, such as ownership and governance structure, which also has a theoretical link to information quality. I find strong excess returns around extreme trading levels, which is only moderately attributable to information disclosure. Moreover, these returns are not caused by liquidity fluctuations since prices do not reverse over the following period. In contrast, and in violation of the semi-strong form of market efficiency, there is evidence of price momentum, suggesting that traders can implement successful portfolio strategies based on the observation of current volumes. Consistent with the hypotheses presented in this study, the information content of abnormal trading volume is related to ownership characteristics, such as the level of control and the family-firm status.
Three Essays On Trading Volume
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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
The Real Side Of The High Volume Return Premium
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Author : Doron Israeli
language : en
Publisher:
Release Date : 2020
The Real Side Of The High Volume Return Premium written by Doron Israeli and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with Cash flow categories.
Prior literature demonstrates that an increased trading activity of a firm's stock is associated with abnormal future stock returns (the high-volume return premium) and interprets this phenomenon as evidence that increased visibility generates reductions in cost of capital. Motivated by this interpretation, we investigate whether increased trading activity entails changes in real corporate actions. We document a positive relation between abnormal trading volume, future investment expenditures, and financing cash flows. This positive relation is not subsumed by the arrival of investment-related news or other corporate disclosures, nor by subsequent earnings information, and is concentrated among firms with high financial constraints and firms with lower levels of investor recognition.
New Or Noise Internet Postings And Stock Prices
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Author : Robert Tumarkin
language : en
Publisher:
Release Date : 2014
New Or Noise Internet Postings And Stock Prices written by Robert Tumarkin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
The anecdotal evidence is growing that postings in Internet financial forums affect stock prices, either because the postings contain new information or because they represent successful attempts to manipulate stock prices. From an investment perspective, knowing whether this phenomenon is pervasive is important. We examined the relationship between Internet message board activity and abnormal stock returns and trading volume in the period from mid-April 1999 to mid-February 2000. Our study focused on the RagingBull.com discussion forum, an extremely popular site whose format permits the construction of an objective measure of investor opinions. For stocks in the Internet service sector, we found that on days with abnormally high message activity, changes in investor opinion correlated with abnormal industry-adjusted returns. These event days also coincided with abnormally high trading volume, which persisted for a second day. However, we found that message board activity did not predict industry-adjusted returns or abnormal trading volume, which is consistent with market efficiency.
Underreaction Trading Volume And Post Earnings Announcement Drift
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Author : Wonseok Choi
language : en
Publisher:
Release Date : 2001
Underreaction Trading Volume And Post Earnings Announcement Drift written by Wonseok Choi 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.
In this paper, we develop a simple model in which trading volume contains information about future stock returns. Specifically, our model explains why high trading volume is observed when a firm announces earnings news and how trading volume can be related to the initial underreaction of the stock price. Our model has a clear testable implication that high abnormal trading volume predicts a stronger drift. We test our model's implication and find strong evidence for the model in the case of positive news. Weaker evidence is found in the case of negative news. We also discuss possible explanations for the asymmetric informativeness of trading volume.
Explanatory Factors For Trading Volume Responses To Annual Earnings Announcements
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Author : Jong-Seo Choi
language : en
Publisher:
Release Date : 1996
Explanatory Factors For Trading Volume Responses To Annual Earnings Announcements written by Jong-Seo Choi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Financial statements categories.
