Trading Activity and Expected Stock Returns
Journal of Financial Economics
Posted: 5 Jul 2000
We analyze the relation between expected equity returns and the level as well as the volatility of trading activity. We document a negative cross-sectional relationship between stock returns and the variability of dollar trading volume and share turnover, after controlling for size, book-to-market, momentum, and the level of dollar volume or share turnover. This effect survives a number of robustness checks and is statistically and economically significant. Our analysis highlights the importance of trading activity related variables in the cross-section of expected stock returns.
Note: This is a description of the paper and is not the actual abstract.
JEL Classification: G12, G14
Suggested Citation: Suggested Citation