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Cited by 857

The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.

The High‐Volume Return Premium

Gervais, Simon, Kaniel, Ron, Mingelgrin, Dan H.·2001·The Journal of Finance
DOI 10.1111/0022-1082.00349
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Abstract

The idea that extreme trading activity contains information about the future evolution of stock prices is investigated. We find that stocks experiencing unusually high (low) trading volume over a day or a week tend to appreciate (depreciate) over the course of the following month. We argue that this high‐volume return premium is consistent with the idea that shocks in the trading activity of a stock affect its visibility, and in turn the subsequent demand and price for that stock. Return autocorrelations, firm announcements, market risk, and liquidity do not seem to explain our results.

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Metadata

Authors
Gervais, S., Kaniel, R., & Mingelgrin, D. H.
Venue
The Journal of Finance
Publisher
Wiley
Published
2001-06
Volume
56
Issue
3
Pages
877-919
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/0022-1082.00349
OpenAlex
W2101194190
Cited by
857
References
2
FWCI
22.08
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: The High‐Volume Return Premium. https://app.cochat.ai/papers/10.1111/0022-1082.00349
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Gervais, S., Kaniel, R., & Mingelgrin, D. H. (2001). The High‐Volume Return Premium. The Journal of Finance. https://doi.org/10.1111/0022-1082.00349

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

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.