BazEkon - Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie

BazEkon home page

Meny główne

Autor
Wójtowicz Tomasz (AGH University of Science and Technology)
Tytuł
High-Volume Return Premium on the Stock Markets in Warsaw and Vienna
Źródło
Bank i Kredyt, 2017, nr 4, s. 375-402, aneks, bibliogr. 43 poz.
Bank & Credit
Słowa kluczowe
Giełda papierów wartościowych, Akcje, Wolumen obrotu, Wycena aktywów, Ryzyko kapitałowe
Stock market, Shares, Trading volume, Valuation of assets, Capital risk
Uwagi
Klasyfikacja JEL: C32,C14
summ., Financial support for this paper from The National Science Centre of Poland (Research Grant DEC-2012/05/B/HS4/00810) is also gratefully acknowledged
Firma/Organizacja
Giełda Papierów Wartościowych w Warszawie, Giełda Papierów Wartościowych w Wiedniu
Warsaw Stock Exchange, Vienna Stock Exchange
Abstrakt
In this paper we analyze the properties of the high-volume return premium on the Warsaw Stock Exchange and on the Vienna Stock Exchange. The premium arises from the different behaviour of returns of stocks with unusually high trading volume and stocks with unusually low relative trading volume. The analysis of monthly returns confirms the existence of the high-volume return premium on the WSE and shows significantly positive returns of volume-based portfolios. Our study also indicates the insignificance of the high-volume return premium on the Vienna Stock Exchange, where an adverse effect of large companies is observed. The paper also examines possible factors that impact the magnitude of the premium on the WSE. We find that returns of volume portfolios depend on firms' capitalization and momentum. However, the Fama-French four-factor asset pricing model does not explain the premium or the differences in returns of volume portfolios. (original abstract)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Szkoły Głównej Handlowej
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Pełny tekst
Pokaż
Bibliografia
Pokaż
  1. Amihud Y. (2002), Illiquidity and stock returns: cross-section and time-series effects, Journal of Financial Markets, 5(1), 31-56.
  2. Banz R.W. (1981), The relationship between return and market value of common stocks, Journal of Financial Economics, 9, 3-18.
  3. Blume L., Easley D., O'Hara M. (1994), Market statistics and technical analysis: The role of volume, Journal of Finance, 49, 153-181.
  4. Blume M.E., Stambaugh R.F. (1983), Biases in computed returns: an application to the size effect, Journal of Financial Economics, 12(3), 387-404.
  5. Carhart M. (1997), On persistence in mutual fund performance, Journal of Finance, 52, 57-82.
  6. Chan L., Hamao Y., Lakonishok J. (1991), Fudamentals and stock returns in Japan, Journal of Finance, 46, 1739-1789.
  7. Chordia T., Swaminathan B. (2000), Trading volume and cross-autocorrelations in stock returns, Journal of Finance, 55, 913-935.
  8. Chui A.C.W., Titman S., Wei J.K.C. (2010), Individualism and momentum around the world, Journal of Finance, 65(1), 361-392.
  9. Conrad J., Hameed A., Niden C. (1994), Volume and autocovariances in short-horizon individual security returns, Journal of Finance, 49, 1305-1329.
  10. Copeland T. (1976), A model of asset trading under the assumption of sequential information arrival, Journal of Finance, 31, 135-155.
  11. Czapkiewicz A., Skalna I. (2011), Użyteczność stosowania modelu Famy i Frencha w okresach hossy i bessy na rynku akcji GPW w Warszawie, Bank i Kredyt, 42(3), 61-80.
  12. Czapkiewicz A., Wójtowicz T. (2014), The four-factor asset pricing model on the Polish stock market, Economic Research - Ekonomska Istraživanja, 27(1), 771-783.
  13. Fama E.F., French K.R. (1993), Common risk factors in the returns on stocks and bonds, Journal of Financial Economics, 33(1), 3-56.
  14. Fama E.F., French K.R. (1996), Multifactor explanations of asset pricing anomalies, Journal of Finance, 51, 55-84.
  15. Fama E.F., French K.R. (2012), Size, value, and momentum in international stock returns, Journal of Financial Economics, 3, 457-472.
  16. Gallant A.R., Rossi P.E., Tauchen G.E. (1992), Stock prices and volume, Review of Financial Studies, 5, 199-242.
  17. Gervais S., Kaniel R., Mingelgrin D. (2001), The high-volume return premium, Journal of Finance, 56, 877-919.
  18. Gibbons M.R., Ross S.A., Shanken J. (1989), A test of the efficiency of a given portfolio, Econometrica, 57(5), 1121-1152.
  19. Griffin J.M., Ji X., Martin J.S. (2003), Momentum investing and business cycle risk: evidence from pole to pole, Journal of Finance, 58, 2515-2547.
  20. Gurgul H., Wójtowicz T. (2009), High-volume return premium: an event study approach, Statistics in Transition, 10(1), 129-151.
  21. Jacobs H., (2015), What explains the dynamics of 100 anomalies? Journal of Banking and Finance, 57, 65-85.
  22. Jegadeesh N., Titman S. (1993), Returns to buying winners and selling losers: Implications for stock market efficiency, Journal of Finance, 48, 65-91.
  23. Kaniel R., Ozoguz A., Starks L. (2012), The high volume return premium: cross-country evidence, Journal of Financial Economics, 103(2), 255-279.
  24. LeBaron B. (1992), Persistence of the Dow Jones index on rising volume, Working Paper, University of Wisconsin.
  25. Lee B.S., Rui O.M. (2002), The dynamic relationship between stock returns and trading volume: domestic and cross-country evidence, Journal of Banking and Finance, 26, 51-78.
  26. Lee C., Swaminathan B. (2000), Price momentum and trading volume, Journal of Finance, 55, 2017-2069.
  27. Llorente G., Michaely R., Saar G., Wang J. (2002), Dynamic volume-return relation of individual stock, The Review of Financial Studies, 15, 1005-1047.
  28. Merton R.C., (1987), A simple model of capital market equilibrium with incomplete information, Journal of Finance, 42, 483-510.
  29. Newey W., West K. (1987), A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica, 55, 703-708.
  30. Pastor L., Stambaugh R. (2003), Liquidity risk and expected stock returns, Journal of Political Economy, 111, 642-685.
  31. Reinganum M.R. (1981), Misspecification of capital asset pricing: Empirical anomalies based on earnings' yields and market values, Journal of Financial Economics, 9, 19-46.
  32. Rosenberg B., Reid K., Lanstein R. (1985), Persuasive evidence of market efficiency, Journal of Portfolio Management, 11, 9-17.
  33. Rouwenhorst K.G. (1998), International momentum strategies, Journal of Finance, 53, 267-284.
  34. Sadka R. (2006), Momentum and post-earnings-announcement drift anomalies: the role of liquidity risk, Journal of Financial Economics, 80, 309-349.
  35. Silvapulle P., Choi J.-S. (1999), Testing for linear and nonlinear Granger causality in the stock price- volume relation: Korean evidence, Quarterly Review of Economics and Finance, 39, 59-76.
  36. Stattman D. (1980), Book values and stock returns, The Chicago MBA: A Journal of Selected Papers, 4, 25-45.
  37. Suominen M. (2001), Trading volume and information revelation in stock markets, Journal of Financial and Quantitative Analysis, 36, 545-565.
  38. Szyszka A. (2006), Zjawisko kontynuacji stóp zwrotu na Giełdzie Papierów Wartościowych w Warszawie, Bank i Kredyt, 8, 37-49.
  39. Tang T., Zou L., Li J. (2013), The high-volume return premium: evidence from the Australian equity market, Journal of Accounting and Finance, 13(5), 74- 93.
  40. Waszczuk A. (2013), A risk-based explanation of return patterns - evidence from the Polish stock market, Emerging Markets Review, 15, 186-210.
  41. Wójtowicz T. (2011), Efekt momentum na GPW w Warszawie w latach 2003-2010, Managerial Economics, 9, 63-74.
  42. Zaremba A., Konieczka P. (2015), Are Value, Size and Momentum Premiums in CEE Emerging Markets Only Illusionary?, Finance a úvěr - Czech Journal of Economics and Finance, 65(1), 84-104.
  43. Zaremba A., Szyszka A. (2016), Is there momentum in equity anomalies? Evidence from the Polish emerging market, Research in International Business and Finance, 38, 546-564.
Cytowane przez
Pokaż
ISSN
0137-5520
Język
eng
Udostępnij na Facebooku Udostępnij na Twitterze Udostępnij na Google+ Udostępnij na Pinterest Udostępnij na LinkedIn Wyślij znajomemu