The Investor Recognition Hypothesis: International Evidence and Determinants
52 Pages Posted: 28 Jul 2003
Date Written: June 2003
We test the investor recognition hypothesis through an examination of the high volume return premium across countries. Our cross-country tests are consistent with the hypothesis in that we find the magnitude of the premium is associated with market characteristics that relate to the importance of a stock's visibility, including proxies for information dissemination, investor confidence, and investor demographics. Further, we find that the high volume return premium is a persistent phenomenon found in almost all developed equity markets and in emerging equity markets as well.
Keywords: high volume, high volume premium, investor recognition hypothesis, IRH
JEL Classification: G12, G14, G15, F30
Suggested Citation: Suggested Citation