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The High Volume Return Premium
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TLDR
In this article, the authors investigated the effect of trading volume on the future evolution of stock prices and found that stocks experiencing unusually high (low) volume over a period of one day to a week tend to appreciate (depreciate) over the course of the following month.Citations
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All that Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors
Brad M. Barber,Terrance Odean +1 more
TL;DR: In this paper, the authors test and confirm the hypothesis that individual investors are net buyers of attentiongrabbing stocks, e.g., stocks in the news, stocks experiencing high abnormal trading volume, and stocks with extreme one day returns.
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In Search of Attention
TL;DR: In this article, a measure of investor demand for attention, active attention, using search frequency in Google (SVI), is proposed to capture investor attention on a more timely basis, which can shed new light on how retail investor attention affects the returns to IPO stocks and price momentum strategies.
Posted Content
The Cross-Section of Volatility and Expected Returns
TL;DR: This paper examined the pricing of aggregate volatility risk in the cross-section of stock returns and found that stocks with high sensitivities to innovations in aggregate volatility have low average returns, and that stock with high idiosyncratic volatility relative to the Fama and French (1993) model have abysmally low return.
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All the News That's Fit to Reprint: Do Investors React to Stale Information?
TL;DR: In this article, the authors test whether stock market investors appropriately distinguish new and old information about firms and find that firms' stock returns are less responsive to stale news than individual investors overreact to stale information.
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Does Public Financial News Resolve Asymmetric Information
TL;DR: In this article, the authors measured public information using firms' stock returns on news days in the Dow Jones archive and found four patterns in post-news returns and trading volume that are consistent with the asymmetric information model's predictions.
Related Papers (5)
All that Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors
Brad M. Barber,Terrance Odean +1 more
Trading is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors
Brad M. Barber,Terrance Odean +1 more