Brändle, Alexander.
Volume Based Portfolio Strategies Analysis of the Relationship between Trading Activity and Expected Returns in the Cross-Section of Swiss Stocks / [electronic resource] : by Alexander Brändle. - XXVII, 320p. 136 illus. online resource.
Review of Studies on the Relationship between Trading Volume and Stock Returns -- Data and Methodology -- Results: Trading Volume and the Cross-Sectional Variation of Stock Returns -- Results: Time-Stability of Portfolio Returns -- Results: Economic Significance of Volume-Return Relations -- Summary and Conclusions.
Alexander Brändle investigates the relationship between different measures of trading volume and returns in the Swiss stock market. He discovers that stocks with unusual trading volume in a given month experience systematically higher subsequent returns. This abnormal volume effect is particularly strong in uncertain market situations including the 2008 downturn.
9783834987167
10.1007/978-3-8349-8716-7 doi
Economics.
Banks and banking.
Economics/Management Science.
Finance /Banking.
HG1-9999 HG4501-6051 HG1501-HG3550
657.8333 658.152
Volume Based Portfolio Strategies Analysis of the Relationship between Trading Activity and Expected Returns in the Cross-Section of Swiss Stocks / [electronic resource] : by Alexander Brändle. - XXVII, 320p. 136 illus. online resource.
Review of Studies on the Relationship between Trading Volume and Stock Returns -- Data and Methodology -- Results: Trading Volume and the Cross-Sectional Variation of Stock Returns -- Results: Time-Stability of Portfolio Returns -- Results: Economic Significance of Volume-Return Relations -- Summary and Conclusions.
Alexander Brändle investigates the relationship between different measures of trading volume and returns in the Swiss stock market. He discovers that stocks with unusual trading volume in a given month experience systematically higher subsequent returns. This abnormal volume effect is particularly strong in uncertain market situations including the 2008 downturn.
9783834987167
10.1007/978-3-8349-8716-7 doi
Economics.
Banks and banking.
Economics/Management Science.
Finance /Banking.
HG1-9999 HG4501-6051 HG1501-HG3550
657.8333 658.152