Trading Volume, Return Variability and Short-Term Momentum

29 Pages Posted: 16 Nov 2013 Last revised: 25 Feb 2015

See all articles by Umut Gokcen

Umut Gokcen

Ozyegin University - Faculty of Business

Thierry Post

Graduate School of Business of Nazarbayev University

Date Written: February 20, 2015

Abstract

We examine the hypothesis that stock prices underreact to corporate news and that trading volume and return variability are proxies for latent news flow. Consistent with this notion, we find that that price continuation and potential momentum profits are larger after elevated levels of volume and variability. This conditional momentum effect is not driven by micro-cap stocks and robust to corrections for systematic risk factors and stock characteristics such as liquidity and credit quality.

Keywords: Volume; Variability; Latent News Flow; Momentum; Underreaction to News; Mixture-of-Distributions Hypothesis.

JEL Classification: G12, G14

Suggested Citation

Gokcen, Umut and Post, Thierry, Trading Volume, Return Variability and Short-Term Momentum (February 20, 2015). Available at SSRN: https://ssrn.com/abstract=2354401 or http://dx.doi.org/10.2139/ssrn.2354401

Umut Gokcen (Contact Author)

Ozyegin University - Faculty of Business ( email )

Kusbakisi Cd. No: 2
Altunizade, Uskudar
Istanbul, 34662
Turkey

Thierry Post

Graduate School of Business of Nazarbayev University ( email )

53 Kabanbay Batyra Avenue
Astana, 010000
Kazakhstan

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
426
Abstract Views
1,484
rank
75,425
PlumX Metrics