The High-Volume Return Premium and Economic Fundamentals

59 Pages Posted: 5 May 2020

See all articles by Zijun Wang

Zijun Wang

University Texas at San Antonio

Date Written: February 1, 2020

Abstract

Extending Kaniel, Ozoguz, and Starks (2012, J. Financ. Econ.) and many others, we present first empirical evidence that indicates the high volume return premium is linked to economic fundamentals. The volume premium has strong predictive power for future industrial production growth and other macroeconomic indicators with or without controls for common equity pricing factors and business cycle variables. However, only a small portion of the volume premium can be attributed to its co-movement with equity return factors and economic risk factors. Mis-pricing-based factor models also fail to adequately explain the return anomaly.

Keywords: High Volume Return Premium, Economic Fundamentals, Rational and Mis-pricing-Based Asset Pricing Models, Volume Shocks

JEL Classification: G12, E44

Suggested Citation

Wang, Zijun, The High-Volume Return Premium and Economic Fundamentals (February 1, 2020). Journal of Financial Economics (JFE), Forthcoming, Available at SSRN: https://ssrn.com/abstract=3571784 or http://dx.doi.org/10.2139/ssrn.3571784

Zijun Wang (Contact Author)

University Texas at San Antonio ( email )

San Antonio, TX 78249
United States

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