Volume Based Portfolio Strategies: Analysis of the Relationship between Trading Activity and Expected Returns in the Cross-Section of Swiss Stocks
Alexander Brändle (auth.)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.
年:
2010
出版:
1
出版社:
Gabler Verlag
语言:
english
页:
320
ISBN 10:
3834987166
ISBN 13:
9783834987167
文件:
PDF, 1.27 MB
IPFS:
,
english, 2010