Volume Based Portfolio Strategies

Volume Based Portfolio Strategies

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Alexander BrAcndle 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.Analysis of the Relationship between Trading Activity and Expected Returns in the Cross-Section of Swiss Stock Alexander BrAcndle ... to the formation period, firm specific volume uses the ratio of a stocka#39;s daily trading volume over that of the market, and day ... 25 The exact definition of this volume measure is described Review of Studies on the Relationship between Trading Volume and Stock Returns 17.

Title:Volume Based Portfolio Strategies
Author:Alexander Brändle
Publisher:Springer Science & Business Media - 2010-06-28


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