Skip Navigation

This Article
Right arrow Full Text (PDF)
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Similar articles in ISI Web of Science
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrow Search for citing articles in:
ISI Web of Science (18)
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by Llorente, G.
Right arrow Articles by Wang, J.
Right arrow Search for Related Content
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

Rev Fin 2002; 15:1005-1047
© 2002 the Society for Financial Studies

Dynamic Volume-Return Relation of Individual Stocks

Guillermo Llorente
Universidad Autonoma de Madrid

Roni Michaely
Cornell University and IDC

Gideon Saar
New York University

Jiang Wang
MIT and National Bureau of Economic Research

Address correspondence to Roni Michaely, 431 Sage Hall, Johnson Graduate School of Management, Cornell University, Ithaca, NY 14853, or e-mail: rm34{at}cornell.edu.

Abstract

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.


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?


This article has been cited by other articles:


Home page
 REV FINANC STUDHome page
S. T. Bharath, P. Pasquariello, and G. Wu
Does Asymmetric Information Drive Capital Structure Decisions?
Rev. Financ. Stud., August 21, 2008; (2008) hhn076v1.
[Abstract] [Full Text] [PDF]

Home page
 REV FINANC STUDHome page
N. Fernandes and M. A. Ferreira
Insider Trading Laws and Stock Price Informativeness
Rev. Financ. Stud., July 23, 2008; (2008) hhn066v1.
[Abstract] [Full Text] [PDF]

Home page
 REV FINANC STUDHome page
K. B. Diether, I. M. Werner, and K.-H. Lee
Short-Sale Strategies and Return Predictability
Rev. Financ. Stud., May 9, 2008; (2008) hhn047v1.
[Abstract] [Full Text] [PDF]

Home page
 REV FINANC STUDHome page
S. Goto, M. Watanabe, and Y. Xu
Strategic Disclosure and Stock Returns: Theory and Evidence from US Cross-Listing
Rev. Financ. Stud., March 20, 2008; (2008) hhn013v1.
[Abstract] [Full Text] [PDF]

Home page
 REV FINANC STUDHome page
K. J. M. Cremers and J. Mei
Turning over Turnover
Rev. Financ. Stud., November 1, 2007; 20(6): 1749 - 1782.
[Abstract] [Full Text] [PDF]

Home page
 REV FINANC STUDHome page
T. Chordia, S.-W. Huh, and A. Subrahmanyam
The Cross-Section of Expected Trading Activity
Rev. Financ. Stud., May 1, 2007; 20(3): 709 - 740.
[Abstract] [Full Text] [PDF]


Disclaimer:
Please note that abstracts for content published before 1996 were created through digital scanning and may therefore not exactly replicate the text of the original print issues. All efforts have been made to ensure accuracy, but the Publisher will not be held responsible for any remaining inaccuracies. If you require any further clarification, please contact our Customer Services Department.