Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7355622 | International Review of Financial Analysis | 2018 | 55 Pages |
Abstract
This paper studies the dynamic relation between trading volume and stock returns from the perspective of out-of-sample stock return predictability. Evidence from the U.S. suggests that higher returns do follow more intensive trading, especially in the pre-2000 period. However, the ex-ante predictability delivers a small economic gain equivalent to an annual return of 0.73% for a risk-averse investor. This weak out-of-sample predictive power of volume is absent in most of the other major markets. Overall, investors are not likely to gain much financially by “riding the volume curve,” at least at the levels of net profits suggested by our findings.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Zijun Wang, Yan Qian, Shiwen Wang,