Trading Volume and Stock Investments

被引：18

作者：

Brown, Jeffrey H. ^{[1
]}

Crocker, Douglas K.

Foerster, Stephen R. ^{[2
]}

机构：

[1] Highst Asset Management Inc, London, ON, Canada

[2] Univ Western Ontario, Richard Ivey Sch Business, London, ON, Canada

来源：

FINANCIAL ANALYSTS JOURNAL | 2009年 / 65卷 / 02期

关键词：

LIQUIDITY; MARKET; RISK; SIXTEENTHS; RETURNS;

D O I：

10.2469/faj.v65.n2.4

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Previous studies suggest that trading-volume measures may proxy for a number of factors, including liquidity, momentum, and information. For relatively illiquid (typically smaller) stocks, investors may demand a liquidity premium, which can result in a negative relationship between trading volume (as a proxy for liquidity) and stock returns. For relatively liquid (typically larger) stocks-the focus of this article-momentum and information effects may dominate and result in a positive relationship between trading volume and stock returns. Portfolios of S&P 500 Index and large-capitalization stocks sorted on higher trading volume and turnover tend to have higher subsequent returns (holding periods of 1-12 months) than those with lower trading volume.

引用

页码：67 / 84

页数：18

共 24 条

[1] ASSET PRICING AND THE BID ASK SPREAD [J].