Publication detail

Trading volume and stock returns: A meta-analysis

Author(s): Mgr. Josef Bajzík ,
Type: Articles in journals with impact factor
Year: 2021
Number: 78
ISSN / ISBN: 1057-5219
Published in: International Review of Financial Analysis, volume 78, 101923
Publishing place:
Keywords: Stock returns, trading volume, meta-analysis, model averaging, publication bias
JEL codes: G10, G12, G14
Suggested Citation: Bajzik, J.: "Trading volume and stock returns: A meta-analysis"
Grants: GAUK 297521: Book-to-market ratio, liquidity and expected stock returns
Abstract: 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.

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