Volume and Return Information on Individual Stocks

38 Pages Posted: 17 Feb 2006  

Ludwig B. Chincarini

University of San Francisco School of Management; University of San Francisco - School of Business and Management

Guillermo Llorente

Universidad Autonoma de Madrid

Date Written: February 1999

Abstract

This paper tests for the informational content of trading volume {\em per se} as postulated by Blume, Easley, and O'Hara (1994) and about its identification function in price reversals as postulated in Campbell, Grossman, and Wang (1993) using different trading strategy schemes. We find evidence about the information impounded in volume and its difference from that of return information. We also find evidence of price reversal for highly traded stocks. For low traded stocks we do not find price trending. All of these results are robust to the stock size, to different time horizons, and to different criterions for defining low and high volume.

Keywords: Volume information,Trading Strategies,Technical Analysis, Momentum

JEL Classification: G10, G14, G19

Suggested Citation

Chincarini, Ludwig B. and Llorente, Guillermo, Volume and Return Information on Individual Stocks (February 1999). Available at SSRN: https://ssrn.com/abstract=883360 or http://dx.doi.org/10.2139/ssrn.883360

Ludwig B. Chincarini (Contact Author)

University of San Francisco School of Management ( email )

San Francisco, CA 94102
United States

University of San Francisco - School of Business and Management ( email )

San Francisco, CA 94117
United States

Jesus-Guillermo Llorente-Alvarez

Universidad Autonoma de Madrid ( email )

Facultad de C. Economicas
Madrid, Madrid 28049
Spain
34-91-497-4812 (Phone)
34-91-497-7057 (Fax)

Paper statistics

Downloads
284
Rank
87,745
Abstract Views
1,195