The high volume return premium and economic fundamentals

被引：4
|
作者：
Wang, Zijun [1 ]
机构：
[1] Univ Texas San Antonio, Dept Finance, San Antonio, TX 78249 USA
来源：
JOURNAL OF FINANCIAL ECONOMICS | 2021年 / 140卷 / 01期
关键词：
High volume return premium; Economic fundamentals; Rational and mispricing-based asset pricing models;
D O I：
10.1016/j.jfineco.2020.10.006
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Extending Kaniel et al. (2012) and many others, we present the first empirical evidence that indicates the high volume return premium is linked to economic fundamentals. The volume premium has strong predictive power for future industrial production growth and other macroeconomic indicators with or without controls for common equity pricing factors and business cycle variables. However, only a small portion of the volume premium can be attributed to its comovement with equity return factors and economic risk factors. Mispricing-based factor models also fail to adequately explain the return anomaly. (C) 2020 Elsevier B.V. All rights reserved.
引用
收藏
页码：325 / 345
页数：21
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