Trading Volume and Momentum Returns in Europe's Largest Shares

6 Pages Posted: 31 Mar 2008

See all articles by Philip A. Stork

Philip A. Stork

Vrije Universiteit Amsterdam, School of Business and Economics; Tinbergen Institute

Date Written: March 31, 2008

Abstract

Europe's fifty largest shares show strong evidence of medium-term momentum effects. Momentum returns increase after trading volume decreases, because losers and winners are affected differently.

Keywords: Momentum, trading volume, European shares

JEL Classification: G11, G14, G15

Suggested Citation

Stork, Philip A., Trading Volume and Momentum Returns in Europe's Largest Shares (March 31, 2008). Available at SSRN: https://ssrn.com/abstract=1114672 or http://dx.doi.org/10.2139/ssrn.1114672

Philip A. Stork (Contact Author)

Vrije Universiteit Amsterdam, School of Business and Economics ( email )

De Boelelaan 1105
Amsterdam, 1081HV
Netherlands

Tinbergen Institute ( email )

Gustav Mahlerplein 117
Amsterdam, 1082 MS
Netherlands

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