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Publication year
Volume and Autocovariances in Short-Horizon Individual Security Returns.
Resource type
Authors/contributors
- Conrad, Jennifer S (Author)
- Hameed, Allaudeen (Author)
- Niden, Cathy (Author)
Title
Volume and Autocovariances in Short-Horizon Individual Security Returns.
Abstract
This article tests for the relations between trading volume and subsequent returns patterns in individual securities' short-horizon returns that are suggested by such articles as L. Blume, D. Easley, and M. O'Hara (1994) and J. Y. Campbell, S. J. Grossman, and J. Wang (1993). Using a variant of B. Lehmann's (1990) contrarian trading strategy, the authors find strong evidence of a relation between trading activity and subsequent autocovariances in weekly returns. Specifically, high-transaction securities experience price reversals, while the returns of low-transactions securities are positively autocovarying. Overall, information on trading activity appears to be an important predictor of the returns of individual securities.
Publication
The Journal of Finance
Volume
49
Issue
4
Pages
1305-29
Date
1994-09
Citation
Conrad, J. S., Hameed, A., & Niden, C. (1994). Volume and Autocovariances in Short-Horizon Individual Security Returns. The Journal of Finance, 49, 1305–1329.
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