Title: | Dynamic Volume-Return Relation of Individual Stocks |
Authors: | Llorente, Guillermo Michaely, Roni Saar, Gideon Wang, Jiang |
Issue Date: | 15-Aug-2000 |
Series/Report no.: | FIN-00-032 |
Abstract: | 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. |
URI: | http://hdl.handle.net/2451/26698 |
Appears in Collections: | Finance Working Papers |
Files in This Item:
File | Description | Size | Format | |
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FIN-00-032.pdf | 450.58 kB | Adobe PDF | View/Open |
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