Investment-Horizon Spillovers

37 Pages Posted: 11 Aug 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

Date Written: August 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.

Suggested Citation

Chinco, Alexander and Ye, Mao, Investment-Horizon Spillovers (August 2017). NBER Working Paper No. w23650. Available at SSRN: https://ssrn.com/abstract=3016920

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 )

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