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Does Trading Volume Contain Information About Future Stock Returns?: A Quest for a Trading Strategy Using the High-Volume Return Premium
Stockholm University, Faculty of Social Sciences, School of Business.
Stockholm University, Faculty of Social Sciences, School of Business.
2002 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

The purpose of this study is to outline a trading strategy that generates abnormal return in the presence of transaction costs. Using a sample of stocks listed on the Stockholm Stock Exchange during January 1997 to November 2001, the existence of a high-volume return premium is firmly established. We also show that the premium is not a compensation for an increase in risk. When adjusting for transaction costs, measured as the bid-ask spread, there exists no profitable strategy using a zero investment portfolio. However, the results indicate that a more sophisticated trading strategy that reduces the effects of the transaction costs could yield a profit. Also, alternative trading strategies might utilize the high-volume return premium in more efficient ways.

Place, publisher, year, edition, pages
2002.
National Category
Business Administration
Identifiers
URN: urn:nbn:se:su:diva-2977OAI: oai:DiVA.org:su-2977DiVA: diva2:192120
Uppsok
samhälle/juridik
Available from: 2007-01-05 Created: 2007-01-05

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CiteExportLink to record
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Citation style
  • apa
  • ieee
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