| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w4193 |
| 来源ID | Working Paper 4193 |
| Trading Volume and Serial Correlation in Stock Returns | |
| John Y. Campbell; Sanford J. Grossman; Jiang Wang | |
| 发表日期 | 1992-10-01 |
| 出版年 | 1992 |
| 语种 | 英语 |
| 摘要 | This paper investigates the relationship between stock market trading volume and the autocorrelations of daily stock index returns. The paper finds that stock return autocorrelations tend to decline with trading volume. The paper explains this phenomenon using a model in which risk-averse "market makers" accommodate buying or selling pressure from "liquidity" or "non-informational" traders. Changing expected stock returns reward market makers for playing this role. The model implies that a stock price decline on a high-volume day is more likely than a stock price decline on a low-volume day to be associated with an increase in the expected stock return. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w4193 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/561548 |
| 推荐引用方式 GB/T 7714 | John Y. Campbell,Sanford J. Grossman,Jiang Wang. Trading Volume and Serial Correlation in Stock Returns. 1992. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w4193.pdf（3138KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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