Why does the high volume return premium exist?거래량 충격에 따른 프리미엄 발생 원인에 대한 연구
We confirm the high volume premium, first documented by Gervais, Kaniel, and Mingelgrin (2001) in daily and weekly frequencies, in a monthly frequency by showing that stocks with high monthly trading volume earn more than those with low monthly trading volume. We propose four possible sources that may explain this high volume return premium: Changes in investor recognition, liquidity, attention, and operating performance. A change in liquidity caused by a volume shock is the only explanation that is consistent with all the empirical findings among the four possible explanations, though all of the four may account partially for the high volume return premium.
- Advisors
- Kang, Jangkooresearcher; 강장구researcher
- Description
- 한국과학기술원 :경영공학부,
- Publisher
- 한국과학기술원
- Issue Date
- 2019
- Identifier
- 325007
- Language
- eng
- Description
학위논문(석사) - 한국과학기술원 : 경영공학부, 2019.2,[iii, 76 p. :]
- Keywords
Trading volume▼aliquidity▼ainvestor recognition▼aunderreaction; 주식거래량▼a유동성▼a투자자인지▼a과소반응
- Appears in Collection
- MT-Theses_Master(석사논문)
- Files in This Item
- There are no files associated with this item.
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