The High-Volume Return Premium

Author(s): SIMON GERVAIS , RON KANIEL AND H.MINGELGRIN

Abstract: This idea that extreme trading activity contains information about the future evolution of stock prices is invesetigated.we find that stocks experiencing unusually high(low) trading volume over a day or a week tend to appreciate (depreciate) over the course of the following month.we argue that this high-volume return premium is consistent with the idea that shocks in the trading activity of a shock affect its visibility,and in turn the subsequent demand and price for that stock.Return autocorrelations,firm announcements,market risk,and liquidity do not seem to explain our results.

Simon et al 2001 JF volume.pdf