Abstract
In chapter 4, we identify a systematically positive relationship between abnormal volume and expected returns in the cross-section of Swiss stocks. In chapter 5, we investigate the stability of the discovered volume-return relation across various market regimes and find quite substantial differences, particularly between different phases of market volatility. As a last empirical analysis, we test whether the discovered relationship between abnormal volume and expected returns is economically significant, which is research question [3]. The focus of this chapter is again abnormal volume, because it is the only measure investigated shown to systematically relate to the cross-section of Swiss stock returns. Additionally, we briefly analyze the other volume measures as well (volume level, volume growth, and variability in volume), particularly regarding the presumed strong relationship between these volume measures and market beta identified in the last chapter. The methodology applied is described in detail above, 3.3.3, but we repeat the most important aspects at the relevant places in the text.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
Rights and permissions
Copyright information
© 2010 Gabler | GWV Fachverlage GmbH
About this chapter
Cite this chapter
Brändle, A. (2010). Results: Economic Significance of Volume-Return Relations. In: Volume Based Portfolio Strategies. Gabler. https://doi.org/10.1007/978-3-8349-8716-7_6
Download citation
DOI: https://doi.org/10.1007/978-3-8349-8716-7_6
Publisher Name: Gabler
Print ISBN: 978-3-8349-2106-2
Online ISBN: 978-3-8349-8716-7
eBook Packages: Business and EconomicsEconomics and Finance (R0)