Volume Based Portfolio Strategies
Analysis of the Relationship between Trading Activity and Expected Returns in the Cross-Section of Swiss Stock
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Beschreibung
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.
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.
Autor*in
Alexander Brändle
Themen in »Volume Based Portfolio Strategies«
Asset Pricing Finanzkrise Portfolio Stock Markets Stock market Switzerland Trading Trading Volume