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...

We document trading volume’s amplification effect on trading friction anomalies in the Chinese market. Unlike the uncertain role in different situations in the U.S. market, trading volume in the Chinese market represents noise trading activity rather than efficiency. At the market level, the...