Dynamic Volume-Return Relation of Individual Stocks
Review of Financial Studies
2002
We examine the dynamic relation between return and volume of individual stocks. Using a simple model in which investors trade to share risk or speculate on private information, we show that returns generated by risk-sharing trades tend to reverse themselves, while returns generated by speculative trades tend to continue themselves. We test this theoretical prediction by analyzing the relation between daily volume and first-order return autocorrelation for individual stocks listed on the NYSE and AMEX. We find that the cross-sectional variation in the relation between volume and return autocorrelation is related to the extent of informed trading in a manner consistent with the theoretical prediction.
- DOI
- 10.1093/rfs/15.4.1005
- Volume
- 15 (4)
- Pages
- 1005-1047
- Language
- en
- Export
- BibTeX
- Sources
- openalex crossref