Work detail

Trading volume and expected stock returns: a meta-analysis

Author: Mgr. Josef Bajzík
Year: 2019 - summer
Leaders: prof. PhDr. Tomáš Havránek Ph.D.
Work type: Finance, Financial Markets and Banking
Language: English
Pages: 81
Awards and prizes:
Abstract: I investigate the relationship between expected stock returns and trading volume. I collect
together 522 estimates from 46 studies and conduct the first meta-analysis in this field.
Use of Bayesian model averaging and Frequentist model averaging help me to discover
the most influential factors that affect the return-volume relationship, since I control for
more than 50 differences among primary articles such as midyear and type of data, length
of the primary dataset, size of market, or model employed. In the end, I find out that
the relation between expected stock returns and trading volume is rather negligible. On
the other hand, the contemporaneous relation between returns and volume is positive.
These two findings cut the mixed results from previously written studies. Moreover, the
investigated relationship is influenced by the size of country of interest and the level of
its development. Besides the primary studies that employ higher data frequency provide
substantially larger estimates than the studies with data from longer time periods. On the
contrary, there is no difference among different estimation methodologies used. Finally, I
employ classical and modern techniques such as stem-based methodology for publication
bias detection, and I find evidence for it in this field.




Patria Finance
Česká Spořitelna