The high volume return premium: Cross-country evidence

We examine the high volume return premium across 41 different countries and find it to be a phenomenon found in both developed and emerging markets. The premium is not caused by systematic differences in risk or liquidity. Using Merton's (1987) investor recognition hypothesis as a guide, we fin...

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Bibliographic Details
Published in:Journal of financial economics 2012-02, Vol.103 (2), p.255-279
Main Authors: Kaniel, Ron, Ozoguz, Arzu, Starks, Laura
Format: Article
Language:English
Subjects:
Cost-benefit analysis
International market
International stock markets
Manycountries
Market
Return premium
Risk premiums
Securities trading
Stocks
Studies
Time series
Trade-off
Volume
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Summary:We examine the high volume return premium across 41 different countries and find it to be a phenomenon found in both developed and emerging markets. The premium is not caused by systematic differences in risk or liquidity. Using Merton's (1987) investor recognition hypothesis as a guide, we find the magnitude of the premium is generally associated with country and firm characteristics hypothesized to affect returns subsequent to a change in a stock's visibility. We also characterize the time-series properties of the premium and consider economic trading strategies.
ISSN:0304-405X
1879-2774
DOI:10.1016/j.jfineco.2011.08.012