全球智库信息集成服务系统(G2TT): Investment-Horizon Spillovers

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w23650
来源ID	Working Paper 23650
	Investment-Horizon Spillovers
	Alexander M. Chinco; Mao Ye
发表日期	2017-08-07
出版年	2017
语种	英语
摘要	This paper uses wavelets to decompose each stock’s trading-volume variance into frequency-specific components. We find that stocks dominated by short-run fluctuations in trading volume have abnormal returns that are 1% per month higher than otherwise similar stocks where short-run fluctuations in volume are less important—i.e., stocks with less of a short-run tilt. And, we document that a stock’s short-run tilt can change rapidly from month to month, suggesting that these abnormal returns are not due to some persistent firm characteristic that’s simultaneously adding both short-run fluctuations and long-term risk.
主题	Econometrics ; Estimation Methods ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets
URL	https://www.nber.org/papers/w23650
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/581324
推荐引用方式 GB/T 7714	Alexander M. Chinco,Mao Ye. Investment-Horizon Spillovers. 2017.