Kaniel, Ron; Ozoguz, Arzu; Starks, Laura - In: Journal of Financial Economics 103 (2012) 2, pp. 255-279
We examine the high volume return premium across 41 different countries and find it to be a phenomenon found in both developed and emerging markets. The premium is not caused by systematic differences in risk or liquidity. Using Merton's (1987) investor recognition hypothesis as a guide, we find...