Investment-Horizon Spillovers

36 Pages Posted: 5 Jun 2016 Last revised: 25 Jul 2017

See all articles by Alexander Chinco

Alexander Chinco

University of Illinois at Urbana-Champaign - College of Business

Mao Ye

University of Illinois at Urbana-Champaign; National Bureau of Economic Research (NBER)

Multiple version iconThere are 2 versions of this paper

Date Written: July 21, 2017

Abstract

This paper uses wavelets to decompose each stock’s trading-volume variance into frequency-specific components. We find that stocks dominated by short-run fluctuations in trading volume have abnormal returns that are 1% per month higher than otherwise similar stocks where short-run fluctuations in volume are less important — i.e., stocks with less of a short-run tilt. And, we document that a stock’s short-run tilt can change rapidly from month to month, suggesting that these abnormal returns are not due to some persistent firm characteristic that’s simultaneously adding both short-run fluctuations and long-term risk.

Keywords: Investment Horizon, Trading Volume, Wavelet Variance

JEL Classification: C55, C58, G12, G14

Suggested Citation

Chinco, Alexander and Ye, Mao, Investment-Horizon Spillovers (July 21, 2017). Available at SSRN: https://ssrn.com/abstract=2788236 or http://dx.doi.org/10.2139/ssrn.2788236

Alexander Chinco (Contact Author)

University of Illinois at Urbana-Champaign - College of Business ( email )

Champaign, IL 61820
United States

Mao Ye

University of Illinois at Urbana-Champaign ( email )

406 Wohlers
1206 South 6th Street
Champaign, IL 61820
United States
2172440474 (Phone)

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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