Dynamic Volume-Return Relation of Individual Stocks
Dynamic Volume-Return Relation of Individual Stocks
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DOI：
10.2139/ssrn.239405
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发表时间：
2000-08
期刊：
影响因子：
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通讯作者：
G. Llorente;Roni Michaely;Gideon Saar;Jiang Wang
中科院分区：
文献类型：
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作者：
G. Llorente;Roni Michaely;Gideon Saar;Jiang Wang
我们研究个股回报率和交易量之间的动态关系。使用投资者进行交易以分担风险或对私人信息进行投机的简单模型，我们发现风险分担交易产生的回报往往会自行逆转，而投机交易产生的回报往往会持续下去。我们通过分析在纽约证券交易所和美国证券交易所上市的个股的日交易量和一阶回报自相关之间的关系来测试这一理论预测。我们发现，交易量和回报自相关之间关系的横截面变化与知情交易的程度有关，其方式与理论预测一致。
We examine the dynamic relation between return and volume of individual stocks. Using a simple model in which investors trade to share risk or speculate on private information, we show that returns generated by risk-sharing trades tend to reverse themselves while returns generated by speculative trades tend to continue themselves. We test this theoretical prediction by analyzing the relation between daily volume and first-order return autocorrelation for individual stocks listed on the NYSE and AMEX. We find that the cross-sectional variation in the relation between volume and return autocorrelation is related to the extent of informed trading in a manner consistent with the theoretical prediction.