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Cited by 689

The DOI matches its Crossref record; 39 of the 39 references it cites were found in a registry or an index.

Dynamic Volume-Return Relation of Individual Stocks

Llorente, Guillermo, Michaely, Roni, Saar, Gideon, Wang, Jiang·2002·Review of Financial Studies
DOI 10.1093/rfs/15.4.1005
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Abstract

We examine the dynamic relation between return and volume of individual stocks. Using a simple model in which investors trade to share risk or speculate on private information, we show that returns generated by risk-sharing trades tend to reverse themselves, while returns generated by speculative trades tend to continue themselves. We test this theoretical prediction by analyzing the relation between daily volume and first-order return autocorrelation for individual stocks listed on the NYSE and AMEX. We find that the cross-sectional variation in the relation between volume and return autocorrelation is related to the extent of informed trading in a manner consistent with the theoretical prediction.

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Metadata

Authors
Llorente, G., Michaely, R., Saar, G., & Wang, J.
Venue
Review of Financial Studies
Publisher
Oxford University Press (OUP)
Published
2002-07
Volume
15
Issue
4
Pages
1005-1047
ISSN
  • 0893-9454 (ISSN-L)
  • 1465-7368
DOI
10.1093/rfs/15.4.1005
OpenAlex
W3121502928
Cited by
689
References
39
FWCI
25.14
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: Dynamic Volume-Return Relation of Individual Stocks. https://app.cochat.ai/papers/10.1093/rfs/15.4.1005
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Llorente, G., Michaely, R., Saar, G., & Wang, J. (2002). Dynamic Volume-Return Relation of Individual Stocks. Review of Financial Studies. https://doi.org/10.1093/rfs/15.4.1005

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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.