Trading volume and stock returns: A meta-analysis

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F21%3A10433610" target="_blank" >RIV/00216208:11230/21:10433610 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=2V.tYdYUJ9" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=2V.tYdYUJ9</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.irfa.2021.101923" target="_blank" >10.1016/j.irfa.2021.101923</a>

Result language
angličtina
Original language name
Trading volume and stock returns: A meta-analysis
Original language description
I examine 468 estimates on the relationship between trading volume and stock returns reported in 44 studies. I study publication bias together with Bayesian and frequentist model averaging to explain the heterogeneity in the estimates. The results yield three key conclusions. First, publication bias distorts the findings of the primary studies. Second, the predictability of stock returns varies with different markets and stock types. Third, different data characteristics, structural variations and methodologies used drive the heterogeneity in the results of the primary articles. In particular, one should be cautious when using monthly data or VAR models.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50201 - Economic Theory

Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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