| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w8312 |
| 来源ID | Working Paper 8312 |
| Dynamic Volume-Return Relation of Individual Stocks | |
| Guillermo Llorente; Roni Michaely; Gideon Saar; Jiang Wang | |
| 发表日期 | 2001-05-01 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w8312 |
| 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/565910 |
| 推荐引用方式 GB/T 7714 | Guillermo Llorente,Roni Michaely,Gideon Saar,et al. Dynamic Volume-Return Relation of Individual Stocks. 2001. |
| 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 | ||
| w8312.pdf（399KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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