The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Trading Volume and Serial Correlation in Stock Returns
Open accessAbstract
This paper investigates the relationship between aggregate stock market trading volume and the serial correlation of daily stock returns. For both stock indexes and individual large stocks, the first-order daily return autocorrelation tends to decline with volume. The paper explains this phenomenon using a model in which risk-averse “market makers” accommodate buying or selling pressure from “liquidity” or “noninformational” traders. Changing expected stock returns reward market makers for playing this role. The model implies that a stock price decline on a high-volume day is more likely than a stock price decline on a low-volume day to be associated with an increase in the expected stock return.
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Citations
Cites
Simple technical trading rules and the stochastic properties of stock returns
BROCK, W., LAKONISHOK, J., & LeBARON, B. (1992) · The Journal of Finance · doi:10.1111/j.1540-6261.1992.tb04681.x · Cited by 2,301
Cited by
Giving content to investor sentiment: The role of media in the stock market
TETLOCK, P. C. (2007) · The Journal of Finance · doi:10.1111/j.1540-6261.2007.01232.x · Cited by 4,827
Asset pricing with liquidity risk
ACHARYA, V, & PEDERSEN, L. (2005) · Journal of Financial Economics · doi:10.1016/j.jfineco.2004.06.007 · Cited by 2,773
The Sum of All FEARS Investor Sentiment and Asset Prices
Da, Z., Engelberg, J., & Gao, P. (2015) · Review of Financial Studies · doi:10.1093/rfs/hhu072 · Cited by 1,379
Liquidity and stock returns: An alternative test
Datar, V. T., Y. Naik, N., & Radcliffe, R. (1998) · Journal of Financial Markets · doi:10.1016/s1386-4181(97)00004-9 · Cited by 1,312
The Causal Impact of Media in Financial Markets
ENGELBERG, J. E., & PARSONS, C. A. (2011) · The Journal of Finance · doi:10.1111/j.1540-6261.2010.01626.x · Cited by 1,121
Metadata
- Authors
- Campbell, J. Y., Grossman, S. J., & Wang, J.
- Venue
- The Quarterly Journal of Economics
- Publisher
- Oxford University Press (OUP)
- Published
- 1993-11-01
- Volume
- 108
- Issue
- 4
- Pages
- 905-939
- ISSN
- 0033-5533 (ISSN-L)
- 1531-4650
- OpenAlex
- W2131675768
- Cited by
- 1,556
- References
- 1
- FWCI
- 19.39
- Type
- journal article
- Language
- en
- Open access
- green
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- Campbell, J. Y., Grossman, S. J., & Wang, J. (1993). Trading Volume and Serial Correlation in Stock Returns. The Quarterly Journal of Economics. https://doi.org/10.2307/2118454
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.
