Results: Economic Significance of Volume-Return Relations
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 . 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.
KeywordsTransaction Cost Capital Asset Price Model Portfolio Return Monthly Return Return Difference
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