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.