원문정보
초록
영어
Stocks with high trading volume outperform otherwise stocks for one week, but subsequently underperform at the longer horizon. We show that such time-varying predictability of trading volume is attributed to abnormal trading activity, which is not explained by past volume. Specifically, we find that the return forecasting power of abnormal trading activity is strongly positive up to five weeks ahead. In contrast, the predictive power of the expected trading activity is negative, and lasts for longer horizons. We further argue that behavioral biases and investors’ attention induces abnormal trading activity, but its price impact is primarily related to behavioral biases. Overall evidence emphasizes the role of behavioral biases and investors’ attention to explain trading volume.
목차
I. Introduction
II. Trading Turnover Decomposition
A. Data
B. Trading Volume Decomposition
III. Cross-Sectional Evidence
A. Portfolio Sorts
B. Fama-Macbeth Cross-Sectional Regressions
C. Discussions
IV. What Drives Abnormal Trading Activity?
A. Hypotheses Development
B. Predicting Abnormal Trading Activity Conditional on Firm Characteristics
C. Predicting Expected Trading Activity Conditional on Firm Characteristics
V. Predicting Stock Returns Conditional on Firm Characteristics
A. Conditional on Firm Characteristics
B. Conditional on Short-sale Constraints
C. Controlling for High-Volume Premium
VI. Conclusion
References