The volume-return relationship: Evidence from European equities
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School of Business |
Bachelor's thesis
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Authors
Date
2021
Department
Major/Subject
Mcode
Degree programme
Rahoitus
Language
en
Pages
18+5
Series
Abstract
I study the relationship between stocks trading volume and risk-adjusted returns in European equity market data. I examine the monthly returns of a sample from 31.01.1997 to 30.11.2021. I focus especially on the volume amplification effect, according to which, the volume-return relation should be positive among underpriced stocks and negative among overpriced stocks. In the big picture, I find a consistent positive volume-return relationship regardless of the mispricing component. Thus, as a result, I do not find a significant double-sided volume amplification effect. Overall, the results I find are rather unambiguous and sensitive to changes in assumptions and thus, leave plenty of room for future research.Description
Thesis advisor
Kokkonen, JoniKeywords
volume-return relationship, expected return, trading volume, mispricing