Trading Activity And Expected Stock Returns
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Trading Activity And Expected Stock Returns
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Author : Tarun Chordia
language : en
Publisher:
Release Date : 2012
Trading Activity And Expected Stock Returns written by Tarun Chordia 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.
Given the evidence that the level of liquidity affects asset returns, a reasonable hypothesis is that the second moment of liquidity should be positively related to asset returns, provided agents care about the risk associated with fluctuations in liquidity. Motivated by this observation, we analyze the relation between expected equity returns and the level as well as the volatility of trading activity (a proxy for liquidity). We document a result contrary to our initial hypothesis, namely, a negative and surprisingly strong cross-sectional relationship between stock returns and the variability of dollar trading volume and share turnover, after controlling for size, book-to-market, momentum, and the level of dollar volume or share turnover. This effect survives a number of robustness checks and is statistically and economically significant. Our analysis demonstrates the importance of trading activity-related variables in the cross-section of expected stock returns.
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.
Volume Based Portfolio Strategies
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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
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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.
The Cross Section Of Expected Trading Activity
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Author : Tarun Chordia
language : en
Publisher:
Release Date : 2008
The Cross Section Of Expected Trading Activity written by Tarun Chordia and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
This paper studies cross-sectional variations in stock trading activity for a comprehensive sample of NYSE/AMEX and Nasdaq stocks over a period of thirty-six years. Our theoretical framework indicates that trading activity depends on the extent of liquidity trading, the mass of informed agents, and dispersion of opinion about the stock's fundamental value. We further postulate that liquidity or noise trading depends both on a stock's visibility and on portfolio rebalancing needs triggered by past stock price performance. We use size, firm age, price, and the book-to-market ratio as proxies for a firm's visibility. The mass of informed agents is proxied by the number of analysts following the stock, while analyst forecast dispersion, systematic risk, and firm leverage proxy for divergence of opinion. Past return is by far the most significant predictor of stock turnover. Forecast dispersion and systematic risk also play important roles in predicting the cross-section of expected trading activity. Stocks that have performed well in a given year experience aggressive buying pressure in the subsequent year, which points to the presence of momentum investing. Overall, the results support theories of trading based on differences of opinion and stock visibility.
The Effects Of Annual Accounting Data On Stock Returns And Trading Activity
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Author : Andrew Kusiak
language : en
Publisher:
Release Date : 1985
The Effects Of Annual Accounting Data On Stock Returns And Trading Activity written by Andrew Kusiak and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1985 with Economic development categories.
Futures Trading Activity And Stock Price Volatility
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Author : Hendrik Bessembinder
language : en
Publisher:
Release Date : 1992
Futures Trading Activity And Stock Price Volatility written by Hendrik Bessembinder and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with Futures categories.
Stock Returns Expected Returns And Real Activity
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Author : Eugene F. Fama
language : en
Publisher:
Release Date : 1988
Stock Returns Expected Returns And Real Activity written by Eugene F. Fama and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988 with Rate of return categories.
Gone Fishin
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Author : Harrison G. Hong
language : en
Publisher:
Release Date : 2011
Gone Fishin written by Harrison G. Hong and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
We use seasonality in stock trading activity associated with summer vacation as a source of exogenous variation to study the relationship between trading volume and expected return. Using data from 51 stock markets, we first confirm a widely held belief that stock turnover is significantly lower during the summer because market participants are on vacation. Interestingly, we find that mean stock return is also lower during the summer for countries with significant declines in trading activity. This relationship is not due to time-varying volatility. Moreover, both large and small investors trade less and the price of trading (bid-ask spread) is higher during the summer. These findings suggest that heterogeneous agent models are essential for a complete understanding of asset prices.
Temporal Relationships Of Intradaily Returns And Trading Activity Of Stocks And Stock Options
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Author : Cornelia M. Dorfschmid
language : en
Publisher:
Release Date : 1992
Temporal Relationships Of Intradaily Returns And Trading Activity Of Stocks And Stock Options written by Cornelia M. Dorfschmid and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with categories.
