文章基本信息

标题：High-Volume Return Premium And Volume-Liquidity Premium
本地全文：下载
作者：Megan Y. Sun
期刊名称：Journal of Business & Economics Research
印刷版ISSN：1542-4448
电子版ISSN：2157-8893
出版年度：2012
卷号：11
期号：1
页码：35-46
语种：English
出版社：The Clute Institute for Academic Research
摘要：This study investigates the interaction of volume-liquidity premium and high-volume return premium by simultaneously consider ing two factors that significantly impact future stock returns: trading volume norms and trading volume extremes. The study finds that high-volume return premium does exist. However, the high-volume return premium behaves differently for liquid and illiquid stocks. The high-volume return premium disappears very quickly for illiquid stocks, while it persists much longer for highly liquid stocks. The study also shows evidence that supports volume-liquidity premium. But the volume-liquidity premium behaves differently after stocks experience an extremely high/low volume shock. The volume-liquidity premium only exists for small size stocks after an extremely low volume shock, but this volum e-liquidity premium totally disappears for stocks experiencing an extremely high volume shock .
关键词：Trading Volume;High-Volume Return Premium;Market Efficiency