Unusually high aggregate stock trading volume in one week predicts higher excess market returns in the following week, especially when accompanied by high market volatility. This predictive relation is robust across alternative measures of aggregate trading volume. In out-of-sample forecasting...

Utilising unique shareholding data for Australian equities we examine whether the high volume return premium (‘HVRP') is associated with changes in investor recognition as has been posited in various empirical studies. We confirm the existence of the premium in Australia as stocks which...

Utilising unique shareholding data for Australian equities we examine whether the high volume return premium (‘HVRP') is associated with changes in investor recognition as has been posited in various empirical studies. We confirm the existence of the premium in Australia as stocks which...