Volume Based Portfolio Strategies [electronic resource] : Analysis of the Relationship between Trading Activity and Expected Returns in the Cross-Section of Swiss Stock /
Brändle, Alexander.author.
Alexander Brändle investigates the relationship between different measures of trading volume and returns in the Swiss stock market. He discovers that stocks with unusual trading volume in a given month experience systematically higher subsequent returns. This abnormal volume effect is particularly strong in uncertain market situations including the 2008 downturn.
Description based upon print version of record.
Includes bibliographical references (p. 309-[320]).
Review of Studies on the Relationship between Trading Volume and Stock Returns -- Data and Methodology -- Results: Trading Volume and the Cross-Sectional Variation of Stock Returns -- Results: Time-Stability of Portfolio Returns -- Results: Economic Significance of Volume-Return Relations -- Summary and Conclusions.
Alexander Brändle investigates the relationship between different measures of trading volume and returns in the Swiss stock market. He discovers that stocks with unusual trading volume in a given month experience systematically higher subsequent returns. This abnormal volume effect is particularly strong in uncertain market situations including the 2008 downturn.
Public finance.
Finance.
Public Economics.
Finance, general.