search query: @author Gervais, S. / total: 3
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| Author: | Gervais, S. Kaniel, R. Mingelgrin, D. H. |
| Title: | The high-volume return premium |
| Journal: | Journal of Finance
2001 : JUN, VOL. 56:3, p. 877-919 |
| Index terms: | Return on investment Share prices Stock returns |
| Language: | eng |
| Abstract: | The idea that extreme trading activity contains information about the future evolution of stock prices is investigated. The authors find that stocks experiencing unusually high (low) trading volume over a day or a week tend to appreciate (depreciate) over the course of the following month. They argue that this high-volume return premium is consistent with the idea that shocks in the trading activity of a stock affect its visibility, and in turn the subsequent demand and price for that stock. or a week |
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