Why does the high volume return premium exist? = 거래량 충격에 따른 프리미엄 발생 원인에 대한 연구

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We confirm the high volume premium, first documented by Gervais, Kaniel, and Mingelgrin (2001) in daily and weekly frequencies, in a monthly frequency by showing that stocks with high monthly trading volume earn more than those with low monthly trading volume. We propose four possible sources that may explain this high volume return premium: Changes in investor recognition, liquidity, attention, and operating performance. A change in liquidity caused by a volume shock is the only explanation that is consistent with all the empirical findings among the four possible explanations, though all of the four may account partially for the high volume return premium.
Advisors
Kang, Jangkooresearcher강장구researcher
Description
한국과학기술원 :경영공학부,
Publisher
한국과학기술원
Issue Date
2019
Identifier
325007
Language
eng
Description

학위논문(석사) - 한국과학기술원 : 경영공학부, 2019.2,[iii, 76 p. :]

Keywords

Trading volume▼aliquidity▼ainvestor recognition▼aunderreaction; 주식거래량▼a유동성▼a투자자인지▼a과소반응

URI
http://hdl.handle.net/10203/265619
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=844713&flag=dissertation
Appears in Collection
MT-Theses_Master(석사논문)
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