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Volume Based Portfolio Strategies

Analysis of the Relationship between Trading Activity and Expected Returns in the Cross-Section of Swiss Stocks

  • Authors
  • Alexander Brändle

Table of contents

  1. Front Matter
    Pages I-XXVII
  2. Alexander Brändle
    Pages 1-5
  3. Alexander Brändle
    Pages 47-97
  4. Alexander Brändle
    Pages 189-220
  5. Alexander Brändle
    Pages 278-287
  6. Back Matter
    Pages 289-320

About this book

Introduction

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.

Keywords

Asset Pricing Finanzkrise Portfolio Stock Markets Stock market Switzerland Trading Trading Volume

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-8349-8716-7
  • Copyright Information Gabler Verlag | GWV Fachverlage GmbH, Wiesbaden 2010
  • Publisher Name Gabler
  • eBook Packages Business and Economics
  • Print ISBN 978-3-8349-2106-2
  • Online ISBN 978-3-8349-8716-7
  • Buy this book on publisher's site
Industry Sectors
Finance, Business & Banking
Engineering