Volume Based Portfolio Strategies [electronic resource] : Analysis of the Relationship between Trading Activity and Expected Returns in the Cross-Section of Swiss Stocks / by Alexander Brändle.
By: Brändle, Alexander [author.].
Contributor(s): SpringerLink (Online service).
Material type:
BookPublisher: Wiesbaden : Gabler, 2010Description: XXVII, 320p. 136 illus. online resource.Content type: text Media type: computer Carrier type: online resourceISBN: 9783834987167.Subject(s): Economics | Banks and banking | Economics/Management Science | Finance /BankingDDC classification: 657.8333 | 658.152 Online resources: Click here to access online 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.
There are no comments for this item.