Work

Price Momentum and Trading Volume

Year: 2000

Type: article

Abstract: 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 negative (positive) earnings surprises over the next eight quarters. Past trading volume also predicts both the magnitude and persistence of price momentum. Specifically, price momentum effects reverse over the next five years, and high (low) volume winners (losers) experience faster reversals. Collectively, our findings show that past volume helps to reconcile intermediate‐horizon “underreaction” and long‐horizon “overreaction” effects.

Source: The Journal of Finance

DOI: 10.1111/0022-1082.00280

Authors: Charles M.C. Lee, Bhaskaran Swaminathan

Institutions: Cornell University, University of Florida, Carnegie Mellon University

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W3123852583

FWCI: 51.89

Cites: 47

Cited by: 1,559

Related to: 9