Detail publikace

Trading volume and stock returns: A meta-analysis

Autor: Mgr. Josef Bajzík ,
Typ: Články v impaktovaných časopisech
Rok: 2021
Číslo: 78
ISSN / ISBN: 1057-5219
Publikováno v: International Review of Financial Analysis, volume 78, 101923
Místo vydání:
Klíčová slova: Stock returns, trading volume, meta-analysis, model averaging, publication bias
JEL kódy: G10, G12, G14
Citace: Bajzik, J.: "Trading volume and stock returns: A meta-analysis"
Granty: GAUK 297521: Poměr účetní k tržní hodnotě akcie, likvidita a očekávané výnosy
Abstrakt: I examine 468 estimates on the relationship between trading volume and stock returns reported in 44 studies. I study publication bias together with Bayesian and frequentist model averaging to explain the heterogeneity in the estimates. The results yield three key conclusions. First, publication bias distorts the findings of the primary studies. Second, the predictability of stock returns varies with different markets and stock types. Third, different data characteristics, structural variations and methodologies used drive the heterogeneity in the results of the primary articles. In particular, one should be cautious when using monthly data or VAR models.
Srpen 2022
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