|
|||||
|
|
The high volume return premium: Cross-country evidence |
|
| Authors: | Ron Kaniel Arzu OzoguzLaura Starks |
| Institution: | a University of Rochester, Rochester, NY, United States b University of Texas at Dallas, United States c Department of Finance, University of Texas, Austin, TX 78712-1179, United States d CEPR, London, UK |
| Abstract: | We examine the high volume return premium across 41 different countries and find it to be a phenomenon found in both developed and emerging markets. The premium is not caused by systematic differences in risk or liquidity. Using Merton's (1987) investor recognition hypothesis as a guide, we find the magnitude of the premium is generally associated with country and firm characteristics hypothesized to affect returns subsequent to a change in a stock's visibility. We also characterize the time-series properties of the premium and consider economic trading strategies. |
| Keywords: | G14 |
| 本文献已被 ScienceDirect 等数据库收录！ | |