We thank Christopher T. Stivers (referee), Gerald Gay (editor), and Ronald Balvers for their many helpful comments and suggestions. Remaining errors are our own.
TRADING-VOLUME SHOCKS AND STOCK RETURNS: AN EMPIRICAL ANALYSIS
Version of Record online: 14 JUN 2010
© 2010 The Southern Finance Association and the Southwestern Finance Association
Journal of Financial Research
Volume 33, Issue 2, pages 153–177, Summer 2010
How to Cite
Huang, Z. and Heian, J. B. (2010), TRADING-VOLUME SHOCKS AND STOCK RETURNS: AN EMPIRICAL ANALYSIS. Journal of Financial Research, 33: 153–177. doi: 10.1111/j.1475-6803.2010.01266.x
- Issue online: 14 JUN 2010
- Version of Record online: 14 JUN 2010
We examine high-volume premiums based on weekly risk-adjusted returns. Significant average weekly abnormal high-volume premiums up to 0.50% per week are documented for 1962–2005. Most premiums are generated in the first two weeks and monotonically decline as holding periods are extended. Evidence of reversal is found as the holding periods are extended. Premiums depend on realized turnover in the holding period. The last finding supports the theories of Miller and Merton. Finally, we test whether premiums are compensation for taking additional risk. Negative skewness, idiosyncratic risk, and liquidity risk do not explain the high-volume premiums.