Griffin, John M. (contributor); … - 2005
decrease in no country. The
economic magnitude of the return-turnover relation is large; a one standard deviation shock to … previous literature has observed [Karpoff (1987) and Gallant, Rossi, and
Tauchen (1992)] is dwarfed in economic importance by … provide evidence against the hypothesis that the pattern of turnover
following returns is driven simply by economic …