| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 959557 | Journal of Financial Economics | 2012 | 25 Pages |
Abstract
We examine the high volume return premium across 41 different countries and find it to be a phenomenon found in both developed and emerging markets. The premium is not caused by systematic differences in risk or liquidity. Using Merton's (1987) investor recognition hypothesis as a guide, we find the magnitude of the premium is generally associated with country and firm characteristics hypothesized to affect returns subsequent to a change in a stock's visibility. We also characterize the time-series properties of the premium and consider economic trading strategies.
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Accounting
Authors
Ron Kaniel, Arzu Ozoguz, Laura Starks,