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Trading volume, return variability and short-term momentum

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dc.contributor.departmentDepartment of Business Administration
dc.contributor.departmentN/A
dc.contributor.kuauthorGökçen, Umut
dc.contributor.kuauthorPost, Gerrit Tjeerd
dc.contributor.kuprofileFaculty Member
dc.contributor.kuprofileOther
dc.contributor.otherDepartment of Business Administration
dc.contributor.schoolcollegeinstituteCollege of Administrative Sciences and Economics
dc.contributor.schoolcollegeinstituteGraduate School of Business
dc.contributor.yokid135461
dc.contributor.yokidN/A
dc.date.accessioned2024-11-09T23:29:02Z
dc.date.issued2018
dc.description.abstractWe 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.
dc.description.indexedbyWoS
dc.description.indexedbyScopus
dc.description.issue3
dc.description.openaccessNO
dc.description.publisherscopeInternational
dc.description.volume24
dc.identifier.doi10.1080/1351847X.2016.1256828
dc.identifier.eissn1466-4364
dc.identifier.issn1351-847X
dc.identifier.scopus2-s2.0-84999635584
dc.identifier.urihttp://dx.doi.org/10.1080/1351847X.2016.1256828
dc.identifier.urihttps://hdl.handle.net/20.500.14288/11972
dc.identifier.wos423188600003
dc.keywordsVolume
dc.keywordsVariability
dc.keywordsLatent news flow
dc.keywordsMomentum
dc.keywordsUnderreaction to news
dc.keywordsMixture-of-distributions hypothesis
dc.languageEnglish
dc.publisherRoutledge Journals, Taylor & Francis Ltd
dc.sourceEuropean Journal of Finance
dc.subjectBusiness
dc.subjectFinance
dc.titleTrading volume, return variability and short-term momentum
dc.typeJournal Article
dspace.entity.typePublication
local.contributor.authorid0000-0002-0108-458X
local.contributor.authorid0000-0002-9030-1274
local.contributor.kuauthorGökçen, Umut
local.contributor.kuauthorPost, Thierry
relation.isOrgUnitOfPublicationca286af4-45fd-463c-a264-5b47d5caf520
relation.isOrgUnitOfPublication.latestForDiscoveryca286af4-45fd-463c-a264-5b47d5caf520

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