High-Volume Return Premium And Volume-Liquidity Premium

This study investigates the interaction of volume-liquidity premium and high-volume return premium by simultaneously considering two factors that significantly impact future stock returns: trading volume norms and trading volume extremes. The study finds that high-volume return premium does exist. However, the high-volume return premium behaves differently for liquid and illiquid stocks. The high-volume return premium disappears very quickly for illiquid stocks, while it persists much longer for highly liquid stocks. The study also shows evidence that supports volume-liquidity premium. But the volume-liquidity premium behaves differently after stocks experience an extremely high/low volume shock. The volume-liquidity premium only exists for small size stocks after an extremely low volume shock, but this volume-liquidity premium totally disappears for stocks experiencing an extremely high volume shock.

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Changes In Stock Returns And Trading Volume Of American Depositary Receipts Around Their U.S. Stock Exchange Listing Switches

Journal of Applied Business Research (JABR) ◽

10.19030/jabr.v28i6.7353 ◽

2012 ◽

Vol 28 (6) ◽

pp. 1445

Author(s):

Kam C. Chan ◽

Annie Wong

Keyword(s):

New York ◽

Stock Returns ◽

Trading Volume ◽

Stock Exchange ◽

Market Performance ◽

Foreign Firms ◽

American Depositary Receipts ◽

Font Size ◽

Depositary Receipts ◽

Year 2000

This study examines the change in stock returns and trading volume of American Depositary Receipts when foreign firms switched their listings from a major U.S. stock exchange to a more prestigious U.S. stock exchange; namely from the NASDAQ or American Stock Exchange to the New York Stock Exchange or from the American Stock Exchange to the NASDAQ since year 2000. We find that the stock returns of these American Depositary Receipts changed from better-than-market performance before the listing changes to just market performance after the listing changes. This evidence is consistent with a timing behavior of the management. We also find significant increase in their trading volume after the listing changes. This leads us to conclude that switching to a more prestigious stock exchange was able to create more investor interest.

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The Real Side of the High-Volume Return Premium

Management Science ◽

10.1287/mnsc.2020.3886 ◽

2021 ◽

Author(s):

Doron Israeli ◽

Ron Kaniel ◽

Suhas A. Sridharan

Keyword(s):

Stock Returns ◽

Trading Volume ◽

Financial Constraints ◽

High Volume ◽

Cash Flows ◽

Positive Relation ◽

Trading Activity ◽

Earnings Information ◽

Prior Literature ◽

Corporate Actions

Prior literature demonstrates that increased trading activity of a firm’s stock is associated with abnormal future stock returns (the high-volume return premium) and interprets this phenomenon as evidence that increased visibility generates reductions in cost of capital. Motivated by this interpretation, we investigate whether increased trading activity entails changes in real corporate actions. We document a positive relation between abnormal trading volume, future investment expenditures, and financing cash flows. This positive relation is not subsumed by the arrival of investment-related news or other corporate disclosures or by subsequent earnings information and is concentrated among firms with high financial constraints and firms with lower levels of investor recognition. This paper was accepted by David Simchi-Levi, finance.

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Investment Strategies, Performance, And Trading Information Impact

International Business & Economics Research Journal (IBER) ◽

10.19030/iber.v4i9.3616 ◽

2011 ◽

Vol 4 (9) ◽

Author(s):

Tov Assogbavi ◽

Johnston E. Osagie ◽

Larry A. Frieder ◽

Jong-Kyun Shin

Keyword(s):

Stock Returns ◽

Strong Evidence ◽

Trading Volume ◽

High Volume ◽

Investment Strategy ◽

Volume Effect ◽

Bad News ◽

Portfolio Construction ◽

Investment Strategies ◽

Canadian Market

This paper examines a set of investment strategies based on past market information to evaluate performance and trading impact on the Canadian Market. In doing so, we assess whether trading information adds value to the effectiveness of these strategies. Utilizing variant models of four different methodologies, we find strong evidence that supported the Momentum Investment Strategy, which buys past winner stocks and sells past loser stocks. Our evidence did not support Contrarian Investment Strategy, which posits that investors overreact to good and bad news. Our winners portfolios outperform our losers portfolios. The Negative Volume Effect Strategy did not work, which is contrary to the Foerster, Prihar and Schmitz (1995) study. We found that winners stocks did not reverse in cases of heavy volume; nor did loser stocks reverse in a high volume context. However, we did find that trading information has an impact on stock returns and thus adds value to investment strategies for the 1990 to 2000 investment period. Investors who combine past price and trading volume information in constructing their investment strategies would achieve higher returns than investors who base their portfolio construction decisions solely on stock prices.University.

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Stock Return Volatility And Trading Volume Relationships Captured With Stable Paretian GARCH And Threshold GARCH Models

Journal of Business & Economics Research (JBER) ◽

10.19030/jber.v11i1.7522 ◽

2012 ◽

Vol 11 (1) ◽

pp. 47 ◽

Cited By ~ 3

Author(s):

Atsuyuki Naka ◽

Ece Oral

Keyword(s):

Stock Returns ◽

Trading Volume ◽

Stock Return ◽

Goodness Of Fit ◽

Garch Models ◽

Return Volatility ◽

Font Size ◽

Gaussian Models ◽

Stock Return Volatility ◽

Dow Jones Industrial Average

This paper examines the volatility of Dow Jones Industrial Average stock returns and the trading volume by employing stable Paretian GARCH and Threshold GARCH (TGARCH) models. Our results indicate that the trading volume significantly contributes to the volatility of stock returns. Additionally, strong leverage effects exist with negative shocks having a larger impact on volatility than positive shocks. The likelihood ratio tests and goodness of fit support the use of stable Paretian GARCH and TGARCH models over Gaussian models.

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Information Flow And Trading Dynamics: A Theoretical Approach

Journal of Business & Economics Research (JBER) ◽

10.19030/jber.v7i4.2275 ◽

2011 ◽

Vol 7 (4) ◽

Author(s):

Megan Y. Sun

Keyword(s):

Information Flow ◽

Stock Prices ◽

Trading Volume ◽

Mixture Of Distributions ◽

Font Size ◽

Noise Trading ◽

Fundamental Information ◽

Normal Text ◽

Svar Model ◽

Informed Traders

This paper constructs a theoretical mixture of distributions model to describe the impacts of permanent fundamental, transitory fundamental, and non-fundamental shocks on returns, volatility and volume.  Under the assumption that informed traders share homogenous fundamental information, we find that only contemporaneous noise trading contributes to the generation of trading volume.  This theoretical model provides us with three identifying restrictions that can be readily imposed on a trivariate SVAR model to empirically estimate the impacts of the three shocks on returns, volatility, and volume.  Using this model, we find that Microsoft stock prices are not very sensitive to noise trading.

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Upward Switches on BSE: An Explanation for Anomalous Stock Price Behaviour

Vikalpa The Journal for Decision Makers ◽

10.1177/0256090920120402 ◽

2012 ◽

Vol 37 (4) ◽

pp. 11-28

Author(s):

Suveera Gill

Keyword(s):

Trading Volume ◽

Stock Exchange ◽

Abnormal Returns ◽

High Volume ◽

Sign Test ◽

Stock Exchanges ◽

Matched Pairs ◽

Volume Group ◽

Low Volume ◽

Market Behaviour

Stock exchanges in developed markets provide multiple equities platform for a sophisticated equity trading worldwide. The trading system on stock exchanges in developing countries, however, is typically two-tiered so as to segregate trading interest on a wider spectrum of investor�s interest. The stock exchange authorities with such trading structures monitor the financial health of their listed companies and take a switch decision by moving a company from a low- or high-class segment to a high-or low-class segment based on certain factors. This paper attempts to discern the general pattern of market behaviour of 38 common stocks around up-switches from Group ‘B’ to Group ‘A’ on the Bombay Stock Exchange during 2008–2010. In addition, an attempt was made to examine the effect of preswitching trading volume on the pattern of returns around up-switching. Standard event methodology using the market-adjusted model was used to examine the market behaviour around the two event dates, i.e., announcement and actual switching. The same estimation period of -210 to -51 days was used for both event dates. Three tests, namely, a sign test, a matched-pairs t-test, and a Wilcoxon matched-pairs signed-ranks test were used to examine differences in volume and risk before and after switching. Finally, other contemporaneous announcements which might have had an effect on the results for low and high sub-sample companies were also checked. The results confirm that subtle differences exist in market behaviour around up-switches. The market responds weakly but positively to the announcement of an up-switch. However, in the days around the actual up-switch, the companies earn negative abnormal returns though not significant. Further, over the total test period, the cumulative abnormal results of the low volume group are significantly lower than those of the high volume group at the five per cent level over days -10 to +10. Thus, the results show that around the up-switch, the market response is more favourable to stocks with high volume than their low volume counterparts. A further examination of trading volume, beta, as well as other corporate announcements helped in discerning the underlying cumulative abnormal return patterns. The present paper distinguishes itself from the previous studies on the subject as it goes beyond documenting the abnormal returns around up-switches by presenting probable explanations for their existence. It provides researchers and others valuable understanding regarding the market segment change anomalies and the role of other pre-switching attributes in explaining market behaviour around switching.

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Does Trading Volume Contain Information to Predict Stock Returns? Evidence from China's Stock Markets

CFA Digest ◽

10.2469/dig.v31.n1.818 ◽

2001 ◽

Vol 31 (1) ◽

pp. 41-42

Author(s):

Johann U. de Villiers

Keyword(s):

Stock Returns ◽

Stock Markets ◽

Trading Volume

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High-Volume Hospitals with High-Volume and Low-Volume Surgeons: Is There a “Field Effect” for Pancreaticoduodenectomy?

The American Surgeon ◽

10.1177/000313481608200514 ◽

2016 ◽

Vol 82 (5) ◽

pp. 407-411 ◽

Cited By ~ 3

Author(s):

Thomas W. Wood ◽

Sharona B. Ross ◽

Ty A. Bowman ◽

Amanda Smart ◽

Carrie E. Ryan ◽

...

Keyword(s):

Hospital Mortality ◽

Field Effect ◽

Hospital Volume ◽

Patient Discharge ◽

High Volume ◽

Surgeon Volume ◽

Hospital Charges ◽

Leapfrog Group ◽

Discharge Status ◽

Low Volume

Since the Leapfrog Group established hospital volume criteria for pancreaticoduodenectomy (PD), the importance of surgeon volume versus hospital volume in obtaining superior outcomes has been debated. This study was undertaken to determine whether low-volume surgeons attain the same outcomes after PD as high-volume surgeons at high-volume hospitals. PDs undertaken from 2010 to 2012 were obtained from the Florida Agency for Health Care Administration. High-volume hospitals were identified. Surgeon volumes within were determined; postoperative length of stay (LOS), in-hospital mortality, discharge status, and hospital charges were examined relative to surgeon volume. Six high-volume hospitals were identified. Each hospital had at least one surgeon undertaking ≥ 12 PDs per year and at least one surgeon undertaking < 12 PDs per year. Within these six hospitals, there were 10 “high-volume” surgeons undertaking 714 PDs over the three-year period (average of 24 PDs per surgeon per year), and 33 “low-volume” surgeons undertaking 225 PDs over the three-year period (average of two PDs per surgeon per year). For all surgeons, the frequency with which surgeons undertook PD did not predict LOS, in-hospital mortality, discharge status, or hospital charges. At the six high-volume hospitals examined from 2010 to 2012, low-volume surgeons undertaking PD did not have different patient outcomes from their high-volume counterparts with respect to patient LOS, in-hospital mortality, patient discharge status, or hospital charges. Although the discussion of volume for complex operations has shifted toward surgeon volume, hospital volume must remain part of the discussion as there seems to be a hospital “field effect.”

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Mo1662 THE BOWEL CLEANSING NATIONAL INITIATIVE (BCLEAN): A HIGH-VOLUME SPLIT-DOSE POLYETHYLENE GLYCOL (PEG) PREPARATION VERSUS A LOW-VOLUME SPLIT-DOSE PEG SOLUTION WITH BISACODYL

Gastrointestinal Endoscopy ◽

10.1016/j.gie.2019.03.852 ◽

2019 ◽

Vol 89 (6) ◽

pp. AB510-AB511

Author(s):

Alan N. Barkun ◽

Myriam Martel ◽

Ian L. Epstein ◽

Pierre Hallé ◽

Robert Hilsden ◽

...

Keyword(s):

Polyethylene Glycol ◽

High Volume ◽

Split Dose ◽

Bowel Cleansing ◽

National Initiative ◽

Low Volume

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Resilience to maintain quality of intrapartum care in war torn Yemen: a retrospective pre-post study evaluating effects of changing birth volumes in a congested frontline hospital

BMC Pregnancy and Childbirth ◽

10.1186/s12884-020-03507-5 ◽

2021 ◽

Vol 21 (1) ◽

Author(s):

Josephine Obel ◽

Antonio Isidro Carrion Martin ◽

Abdul Wasay Mullahzada ◽

Ronald Kremer ◽

Nanna Maaløe

Keyword(s):

Quality Of Care ◽

Birth Outcomes ◽

Birth Outcome ◽

High Volume ◽

Maternal Health Service ◽

Service Access ◽

Intrapartum Care ◽

Health Service Access ◽

Low Volume

Abstract Background Fragile and conflict-affected states contribute with more than 60% of the global burden of maternal mortality. There is an alarming need for research exploring maternal health service access and quality and adaptive responses during armed conflict. Taiz Houbane Maternal and Child Health Hospital in Yemen was established during the war as such adaptive response. However, as number of births vastly exceeded the facility’s pre-dimensioned capacity, a policy was implemented to restrict admissions. We here assess the restriction’s effects on the quality of intrapartum care and birth outcomes. Methods A retrospective before and after study was conducted of all women giving birth in a high-volume month pre-restriction (August 2017; n = 1034) and a low-volume month post-restriction (November 2017; n = 436). Birth outcomes were assessed for all births (mode of birth, stillbirths, intra-facility neonatal deaths, and Apgar score < 7). Quality of intrapartum care was assessed by a criterion-based audit of all caesarean sections (n = 108 and n = 82) and of 250 randomly selected vaginal births in each month. Results Background characteristics of women were comparable between the months. Rates of labour inductions and caesarean sections increased significantly in the low-volume month (14% vs. 22% (relative risk (RR) 0.62, 95% confidence interval (CI) 0.45-0.87) and 11% vs. 19% (RR 0.55, 95% CI 0.42-0.71)). No other care or birth outcome indicators were significantly different. Structural and human resources remained constant throughout, despite differences in patient volume. Conclusions Assumptions regarding quality of care in periods of high demand may be misguiding - resilience to maintain quality of care was strong. We recommend health actors to closely monitor changes in quality of care when implementing resource changes; to enable safe care during birth for as many women as possible.

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