ENGLISH

Volume Based Portfolio Strategies: Analysis of the Relationship between Trading Activity and Expected Returns in the Cross-Section of Swiss Stocks

By Alexander Brändle (auth.)

Book information

Publisher
Gabler Verlag
Year
2010
ISBN
978-3-8349-2106-2, 978-3-8349-8716-7
DOI
10.1007/978-3-8349-8716-7
Language
english
Format
PDF
Filesize
1 MB (1329964 bytes)
Edition
1
Pages
320\344
Orientation
yes
Scanned
yes
Time added
2013-08-01 04:00:00
Finance /Banking

Description

Alexander Brändle investigates the relationship between different measures of trading volume and returns in the Swiss stock market. He discovers that stocks with unusual trading volume in a given month experience systematically higher subsequent returns. This abnormal volume effect is particularly strong in uncertain market situations including the 2008 downturn.

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