1 Abnormal volume in large trades and the cross-section of expected stock returns

This paper employs a new variable, abnormal volume in large trades, to measure the intensity of information-based trading. I find that abnormal volume in large trades is positively priced in the cross-section, after controlling for firm size, book-to-market ratio, momentum, share turnover, the volatility of turnover, abnormal total trading volume, the Amihud illiquidity measure and PIN. This effect survives a number of robustness checks and is statistically and economically significant. My finding provides new evidence to support the asymmetric information hypothesis that stocks with greater information risk are expected to have higher returns