Download or read book Trading Activity and Expected Stock Returns written by Tarun Chordia and published by . This book was released on 2012 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Volume Based Portfolio Strategies written by Alexander Brändle and published by Springer Science & Business Media. This book was released on 2010-06-28 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
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 Stock Returns Expected Returns and Real Activity written by Eugene F. Fama and published by . This book was released on 1988 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Volume Based Portfolio Strategies written by and published by . This book was released on 2010 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Temporal Relationships of Intradaily Returns and Trading Activity of Stocks and Stock Options written by Cornelia M. Dorfschmid and published by . This book was released on 1992 with total page 1628 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Cross Section of Expected Trading Activity written by Tarun Chordia and published by . This book was released on 2008 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book The Effects of Annual Accounting Data on Stock Returns and Trading Activity written by Andrew Kusiak and published by . This book was released on 1985 with total page 784 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Futures Trading Activity and Stock Price Volatility written by Hendrik Bessembinder and published by . This book was released on 1992 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stock Returns Expected Dividend and Real Economic Activity written by Ramesh Vaidya and published by . This book was released on 1990 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Gone Fishin written by Harrison G. Hong and published by . This book was released on 2011 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Expected Stock Returns and Volatility written by Kenneth R. French and published by . This book was released on 1985 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stock Market Trading and Market Conditions written by John Meredith Griffin and published by . This book was released on 2004 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the dynamic relation between market-wide trading activity and returns in 46 markets. Many stock markets exhibit a strong positive relation between turnover and past returns. These findings stand up in the face of various controls for volatility, alternative definitions for turnover, and differing sample periods, and are present at both the weekly and daily frequency. However, the magnitude of this relation varies widely across markets. Several competing explanations are examined by linking cross-country variables to the magnitude of the relation. The relation between returns and turnover is stronger in countries with restrictions on short sales and where stocks are highly cross-correlated; it is also stronger among individual investors than among foreign or institutional investors. In developed economies, turnover follows past returns more strongly in the 1980s than in the 1990s. The evidence is consistent with models of costly stock market participation in which investors infer that their participation is more advantageous following higher stock returns.
Download or read book Return Volatility Cross sectional Dispersion and Trading Activity in the Equity and Futures Markets written by Hendrik Bessembinder and published by . This book was released on 1993 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Returns Size and Trading Activity Around the Turn of the year written by Gary Wai Sum Seito and published by . This book was released on 1993 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Expected Stock Returns and Stock Index Futures Prices written by Michael Lee Hemler and published by . This book was released on 1990 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Expected Stock Returns in International Capital Markets written by Daniel C. L. Hardy and published by . This book was released on 1989 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt:
