Lee, Charles M.C.; Swaminathan, Bhaskaran - In: Journal of Finance 55 (2000) 5, pp. 2017-2069
This study shows that past trading volume provides an important link between 'momentum' and 'value' strategies. Specifically, we find that firms with high (low) past turnover ratios exhibit many glamour (value) characteristics, earn lower (higher) future returns, and have consistently more...