The High-Volume Return Premium and Economic Fundamentals (Internet Appendix)

Abstract

This appendix has eight sections. Section A reports replication results of Yang (1966, Econometrica) using daily data from 1963 to 2016. In Section B, we investigate time-series relation between daily trading volume and daily equity market index and economic activities. Section C reports additional summary statistics and discussion of the volume premium and other control variables used in the predictive regressions. In Section D, we construct and evaluate the predictive power of an aggregate measure of abnormal trading volume. Section E includes details on the construction of variables analyzed in Table 5 of the paper. Section F studies alternative measures of liquidity and (shocks to) idiosyncratic volatility that are used in the bivariate portfolio analysis. We discuss in Section G how to form the two types of mimicking portfolios used in Section 5.3. Finally, we collect 13 tables in Section H that are either referenced in this appendix or referenced but not reported in the paper.

Keywords: High volume return premium, Economic fundamentals, Rational and mispricing-based asset pricing models, Volume shocks

JEL Classification: G12, E44