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 …

This paper investigates the dynamic relation between market-wide trading activity and returns in 46 markets. Many stock … markets exhibit a strong positive relation between turnover and past returns. These findings stand up in the face of various … are examined by linking cross-country variables to the magnitude of the relation. The relation between returns and …

-sectional regression specifications which attempt to forecast skewness in the daily returns of individual stocks. Negative skewness is most …This paper is an investigation into the determinants of asymmetries in stock returns. We develop a series of cross … pronounced in stocks that have experienced: 1) an increase in trading volume relative to trend over the prior six months; and 2 …

This paper seeks to develop a structural model that lets data on asset returns and trading volume speak to whether … itself. Returns and volume data argue, in the context of our model, that persistent volatility is caused by traders … autocorrelation in volatility and volume on the time scale of the trading process which generates returns and volume data. Positive …

index returns. The paper finds that stock return autocorrelations tend to decline with trading volume. The paper explains …This paper investigates the relationship between stock market trading volume and the autocorrelations of daily stock …" or "non-informational" traders. Changing expected stock returns reward market makers for playing this role. The model …