Publication:
Trading volume, return variability and short-term momentum

Placeholder

Organizational Units

Program

KU Authors

Co-Authors

Advisor

Publication Date

Language

English

Journal Title

Journal ISSN

Volume Title

Abstract

We propose short-term averages of daily stock-level trading volume and return variability as proxies for latent corporate news flow. Conditioning momentum strategies on these two proxies give a significant boost to winner-minus-loser alphas. Regardless of the portfolio formation and holding periods, price drift is larger after elevated levels of volume and variability, supporting the view that prices underreact to news. This pattern is not driven by micro-cap stocks and it is robust to corrections for systematic risk factors and stock characteristics such as liquidity and credit quality.

Source:

European Journal of Finance

Publisher:

Routledge Journals, Taylor & Francis Ltd

Keywords:

Subject

Business, Finance

Citation

Endorsement

Review

Supplemented By

Referenced By

Copyrights Note

0

Views

0

Downloads

View PlumX Details