This appendix has eight sections. Section A reports replication results of Yang (1966, Econometrica) using daily data from 1963 to 2016. In Section B, we investigate time-series relation between daily trading volume and daily equity market index and economic activities. Section C reports...

Extending Kaniel, Ozoguz, and Starks (2012, J. Financ. Econ.) and many others, we present first empirical evidence that indicates the high volume return premium is linked to economic fundamentals. The volume premium has strong predictive power for future industrial production growth and other...