Trading Volume and Momentum Returns in Europe's Largest Shares
6 Pages Posted: 31 Mar 2008
Date Written: March 31, 2008
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: Suggested Citation