The Investor Recognition Hypothesis: International Evidence and Determinants

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

Kaniel, Ron and Li, Dong and Starks, Laura T., The Investor Recognition Hypothesis: International Evidence and Determinants (June 2003). Available at SSRN: https://ssrn.com/abstract=423681 or http://dx.doi.org/10.2139/ssrn.423681