Download or read book Evidence of Stock Returns and Abnormal Trading Volume written by Cathy W. S. Chen and published by . This book was released on 2015 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Abnormal Trading Volume and the Cross Section of Stock Returns written by Deok Hyeon Lee and published by . This book was released on 2016 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book The Information Content of Abnormal Trading Volume written by Emanuele Bajo and published by . This book was released on 2005 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Abnormal Trading Volume Stock Returns and the Momentum Effects written by and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book An Empirical Analysis of Stock Returns and Volume written by Rochelle L. Antoniewicz and published by . This book was released on 1992 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Trading Volume and Return Reversals written by Gregory R. Duffee and published by . This book was released on 1992 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Handbook of Corporate Finance written by Bjørn Espen Eckbo and published by Elsevier. This book was released on 2007-05-21 with total page 559 pages. Available in PDF, EPUB and Kindle. Book excerpt: Judging by the sheer number of papers reviewed in this Handbook, the empirical analysis of firms' financing and investment decisions—empirical corporate finance—has become a dominant field in financial economics. The growing interest in everything "corporate is fueled by a healthy combination of fundamental theoretical developments and recent widespread access to large transactional data bases. A less scientific—but nevertheless important—source of inspiration is a growing awareness of the important social implications of corporate behavior and governance. This Handbook takes stock of the main empirical findings to date across an unprecedented spectrum of corporate finance issues, ranging from econometric methodology, to raising capital and capital structure choice, and to managerial incentives and corporate investment behavior. The surveys are written by leading empirical researchers that remain active in their respective areas of interest. With few exceptions, the writing style makes the chapters accessible to industry practitioners. For doctoral students and seasoned academics, the surveys offer dense roadmaps into the empirical research landscape and provide suggestions for future work.*The Handbooks in Finance series offers a broad group of outstanding volumes in various areas of finance*Each individual volume in the series should present an accurate self-contained survey of a sub-field of finance*The series is international in scope with contributions from field leaders the world over
Download or read book The Real Side of the High volume Return Premium written by Doron Israeli and published by . This book was released on 2020 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book New or Noise Internet Postings and Stock Prices written by Robert Tumarkin and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Three Essays on Trading Volume written by Guohua Ma and published by . This book was released on 2007 with total page 141 pages. Available in PDF, EPUB and Kindle. Book excerpt: Keywords. Trading Volume, Heterogeneous Beliefs, Disposition Effect, Informational Trading, Liquidity Trading
Download or read book Granville s New Key to Stock Market Profits written by Joseph E. Granville and published by Pickle Partners Publishing. This book was released on 2018-12-05 with total page 531 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this remarkable stock market study, one of Wall Street’s best known market analysts reveals a new technical tool he developed for gauging the pulse of the trading cycle. Called the On Balance Volume Theory, this tool tends to fill in some of the conspicuous voids in the famous Dow Theory—especially the lack of discussion and use of stock volume figures. As straightforward as a set of bridge rules, on-balance volume (OBV) denotes each buy and sell signal so that a trader can follow them without his own emotions tending to lead him astray—emotions causing most of the market misjudgements that take place. The Granville OBV method is essentially scientific, has a high degree of accuracy and has many automatic features. The reader of this book will be introduced to a method whereby he may benefit by the earlier movements of volume over price—the “early warning” radar of volume buy and sell signals.
Download or read book Evidence and Implications of Increases in Trading Volume Around Exchange Listings written by Kishore Tandon and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: After controlling for market volume trends and differences in volume measurement between the Nasdaq and the exchanges, we find that mean trading volumes increase significantly for Nasdaq stocks that list on the Amex or the NYSE. Furthermore, stocks with low (high) pre-listing volume tend to realize the largest volume increases (decreases) as well as the best (worst) post-listing performance. Our results support the hypothesis that stocks with high past trading volumes tend to experience lower future returns, and shed new light on the nature and possible causes of poor post-listing stock performance.
Download or read book Underreaction Trading Volume and Post Earnings Announcement Drift written by Wonseok Choi and published by . This book was released on 2001 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Multinationality Earnings Efficiency and Market Considerations written by Ahmed Riahi-Belkaoui and published by Praeger. This book was released on 2002 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: An exploration of the impact of multinationality on the operations of a firm, which has been shown to affect the relationships between earnings, efficiency, disclosure, and market valuation by its role as a dependent, moderating, intervening antecedant or consequent variable.
Download or read book Nonparametric Statistical Methods written by Myles Hollander and published by John Wiley & Sons. This book was released on 2013-11-25 with total page 872 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for the Second Edition “This book should be an essential part of the personal library of every practicing statistician.”—Technometrics Thoroughly revised and updated, the new edition of Nonparametric Statistical Methods includes additional modern topics and procedures, more practical data sets, and new problems from real-life situations. The book continues to emphasize the importance of nonparametric methods as a significant branch of modern statistics and equips readers with the conceptual and technical skills necessary to select and apply the appropriate procedures for any given situation. Written by leading statisticians, Nonparametric Statistical Methods, Third Edition provides readers with crucial nonparametric techniques in a variety of settings, emphasizing the assumptions underlying the methods. The book provides an extensive array of examples that clearly illustrate how to use nonparametric approaches for handling one- or two-sample location and dispersion problems, dichotomous data, and one-way and two-way layout problems. In addition, the Third Edition features: The use of the freely available R software to aid in computation and simulation, including many new R programs written explicitly for this new edition New chapters that address density estimation, wavelets, smoothing, ranked set sampling, and Bayesian nonparametrics Problems that illustrate examples from agricultural science, astronomy, biology, criminology, education, engineering, environmental science, geology, home economics, medicine, oceanography, physics, psychology, sociology, and space science Nonparametric Statistical Methods, Third Edition is an excellent reference for applied statisticians and practitioners who seek a review of nonparametric methods and their relevant applications. The book is also an ideal textbook for upper-undergraduate and first-year graduate courses in applied nonparametric statistics.
Download or read book Essays on Stock Trading Volume Volatility and Information written by Hanfeng Wang and published by Open Dissertation Press. This book was released on 2017-01-27 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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
Download or read book Explanatory Factors for Trading Volume Responses to Annual Earnings Announcements written by Jong-Seo Choi and published by . This book was released on 1996 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
