The High Volume Return Premium and the Investor Recognition Hypothesis: International Evidence and Determinants

53 Pages Posted: 8 Dec 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: March 2003

Abstract

We examine the high volume return premium across countries as a test of the investor recognition hypothesis. 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, first documented by Gervais, Kaniel, and Mingelgrin (2001) for the United States, is a persistent phenomenon found in almost all developed equity markets and in emerging equity markets as well.

Suggested Citation

Kaniel, Ron and Li, Dong and Starks, Laura T., The High Volume Return Premium and the Investor Recognition Hypothesis: International Evidence and Determinants (March 2003). AFA 2004 San Diego Meetings. Available at SSRN: https://ssrn.com/abstract=474100 or http://dx.doi.org/10.2139/ssrn.474100

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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