The Investor Recognition Hypothesis: International Evidence and Determinants

52 Pages Posted: 28 Jul 2003

See all articles by Ron Kaniel

Ron Kaniel

University of Rochester - Simon Business School; CEPR

Dong Li

University of Texas at Austin - Department of Economics

Laura T. Starks

University of Texas at Austin - Department of Finance

Date Written: June 2003

Abstract

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

Kaniel, Ron and Li, Dong and Starks, Laura T., The Investor Recognition Hypothesis: International Evidence and Determinants (June 2003). AFA 2004 San Diego Meetings; University of Texas at Austin Working Paper. Available at SSRN: https://ssrn.com/abstract=423681 or http://dx.doi.org/10.2139/ssrn.423681

Ron Kaniel (Contact Author)

University of Rochester - Simon Business School ( email )

Rochester, NY 14627
United States

HOME PAGE: http://rkaniel.simon.rochester.edu

CEPR ( email )

London
United Kingdom

Dong Li

University of Texas at Austin - Department of Economics ( email )

Austin, TX 78712
United States

Laura T. Starks

University of Texas at Austin - Department of Finance ( email )

Red McCombs School of Business
Austin, TX 78712
United States
512-471-5899 (Phone)
512-471-5073 (Fax)

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