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Dynamic Volume-Return Relation of Individual Stocks / Guillermo Llorente, Roni Michaely, Gideon Saar, Jiang Wang.
- Format:
- Book
- Author/Creator:
- Llorente, Guillermo.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w8312.
- NBER working paper series no. w8312
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2001.
- Summary:
- 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.
- Notes:
- Print version record
- May 2001.
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