The Role of Trading Volume in the "Volatility Puzzle
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Lee, Dong Wook | - |
dc.date.accessioned | 2021-09-04T12:11:21Z | - |
dc.date.available | 2021-09-04T12:11:21Z | - |
dc.date.created | 2021-06-10 | - |
dc.date.issued | 2015-10 | - |
dc.identifier.issn | 2041-9945 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/92404 | - |
dc.description.abstract | We find that the negative average-return differential between high- and low-volatility stocksthe so-called volatility puzzleis particularly more pronounced when both groups of stocks have large trading volume. Conversely, the return differential is completely absent among low-turnover stocks. Such a high turnover-conditional volatility-future return relation is long-lived and present in various segments of the market and in different time-periodse.g., in both small and large stocks and during low- as well as high-investor sentiment periods. While the information contents of large trading volume are likely to be multi-dimensionalthereby allowing for different explanations, our results at least suggest that trading volume is a useful empirical guide to where to (not) find the average return differential between low- and high-volatility stocks. We also illustrate, in a setting that is neutral about market efficiency, how trading volume interacts with volatility and affects future returns. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | WILEY-BLACKWELL | - |
dc.subject | CROSS-SECTION | - |
dc.subject | STOCK-MARKET | - |
dc.subject | EXPECTED RETURNS | - |
dc.subject | RISK | - |
dc.subject | DISAGREEMENT | - |
dc.subject | EQUILIBRIUM | - |
dc.subject | DISPERSION | - |
dc.subject | TESTS | - |
dc.title | The Role of Trading Volume in the "Volatility Puzzle | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Lee, Dong Wook | - |
dc.identifier.doi | 10.1111/ajfs.12113 | - |
dc.identifier.scopusid | 2-s2.0-84945393280 | - |
dc.identifier.wosid | 000363941000005 | - |
dc.identifier.bibliographicCitation | ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, v.44, no.5, pp.783 - 809 | - |
dc.relation.isPartOf | ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES | - |
dc.citation.title | ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES | - |
dc.citation.volume | 44 | - |
dc.citation.number | 5 | - |
dc.citation.startPage | 783 | - |
dc.citation.endPage | 809 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.identifier.kciid | ART002045104 | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
dc.description.journalRegisteredClass | kci | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalWebOfScienceCategory | Business, Finance | - |
dc.subject.keywordPlus | CROSS-SECTION | - |
dc.subject.keywordPlus | STOCK-MARKET | - |
dc.subject.keywordPlus | EXPECTED RETURNS | - |
dc.subject.keywordPlus | RISK | - |
dc.subject.keywordPlus | DISAGREEMENT | - |
dc.subject.keywordPlus | EQUILIBRIUM | - |
dc.subject.keywordPlus | DISPERSION | - |
dc.subject.keywordPlus | TESTS | - |
dc.subject.keywordAuthor | Volatility puzzle | - |
dc.subject.keywordAuthor | Trading volume | - |
dc.subject.keywordAuthor | Parameter uncertainty | - |
dc.subject.keywordAuthor | Convexity | - |
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