This paper investigates the relation between stock returns and trading volume (as measured by turnover) in a small emerging market, i.e., the Egyptian Securities Exchange (ESE). We are interested in examining the power of stock trading volume in predicting future return. To this end, we use a...

In this paper, we extend Bossaerts' (2004) analysis of the implications of the efficient learning market hypothesis (ELM) for asset prices by reformulating it in a GMM setting. Our representation is more amenable to widespread application and allows the econometrician, in testing ELM, to make...