This study aims to incorporate trading volume information, measured by share turnover, into price momentum strategies. Using the monthly constituents of the STOXX Europe Total Market Index, I find that low-volume portfolios obtain higher momentum returns than simple momentum portfolios, but trading volume does not predict the persistence of price momentum. My results are consistent with the slow information diffusion model of Hong and Stein (1999), and I hypothesize that trading volume might be a proxy for the rate of information diffusion across the market. Lastly, I document that price momentum strategies are only profitable in the second half of my time frame, which goes from January 2004 to December 2014
Recent theoretical and empirical studies suggest that volume conveys useful information to forecast ...
Consistent with the predictions of Wang (1994), we document that firm-specific informed trading is a...
Consistent with the predictions of Wang (1994), we document that firm-specific informed trading is a...
This study aims to incorporate trading volume information, measured by share turnover, into price mo...
We investigate the role of trading volume in predicting the magnitude and persistence of the price m...
Momentum investing is a strategy of buying recent winning stocks and short selling recent losing sto...
This paper examines the profitability of momentum strategies implemented on international stock mark...
This paper investigates the source of price momentum in the equity market using information from opt...
International audienceConsiderable evidence from many countries suggests momentum strategies generat...
International audienceConsiderable evidence from many countries suggests momentum strategies generat...
International audienceConsiderable evidence from many countries suggests momentum strategies generat...
International audienceConsiderable evidence from many countries suggests momentum strategies generat...
This paper intends to study the intermediate-term momentum and long-term reversal of stock prices by...
Purpose: The purpose of this paper is to examine the relationship between a stock market's index ret...
International audienceConsiderable evidence from many countries suggests momentum strategies generat...
Recent theoretical and empirical studies suggest that volume conveys useful information to forecast ...
Consistent with the predictions of Wang (1994), we document that firm-specific informed trading is a...
Consistent with the predictions of Wang (1994), we document that firm-specific informed trading is a...
This study aims to incorporate trading volume information, measured by share turnover, into price mo...
We investigate the role of trading volume in predicting the magnitude and persistence of the price m...
Momentum investing is a strategy of buying recent winning stocks and short selling recent losing sto...
This paper examines the profitability of momentum strategies implemented on international stock mark...
This paper investigates the source of price momentum in the equity market using information from opt...
International audienceConsiderable evidence from many countries suggests momentum strategies generat...
International audienceConsiderable evidence from many countries suggests momentum strategies generat...
International audienceConsiderable evidence from many countries suggests momentum strategies generat...
International audienceConsiderable evidence from many countries suggests momentum strategies generat...
This paper intends to study the intermediate-term momentum and long-term reversal of stock prices by...
Purpose: The purpose of this paper is to examine the relationship between a stock market's index ret...
International audienceConsiderable evidence from many countries suggests momentum strategies generat...
Recent theoretical and empirical studies suggest that volume conveys useful information to forecast ...
Consistent with the predictions of Wang (1994), we document that firm-specific informed trading is a...
Consistent with the predictions of Wang (1994), we document that firm-specific informed trading is a...