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The Relation Between Common Stock Returns Trading Activity and Market Value

Authors

  • CHRISTOPHER JAMES,

  • ROBERT O. EDMISTER

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    • University of Oregon and University of Maryland respectively. The authors would like to thank M. Brennan, L. Y. Dann, C. Davis, M. Hopewell, W. Mikkelson, M. Partch, M. Reinganum, R. Roll and P. Wier and the participants of the finance workshops at Dartmouth College and University of Southern California. We would like to express our special thanks to Kathi Martell of Data Resources for her assistance in establishing the data base used in this study.

ABSTRACT

This study examines the relation between common stock returns, trading activity and market value. Our results indicate that although firm size and trading activity are highly correlated, differences in trading activity are not the underlying reason for the firm size anomaly, the finding of systematic differences in risk adjusted returns across stocks of firms of different size.

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