The High Volume Return Premium

By Simon Gervais, Ron Kaniel, Dan H Mingelgrin. 2001

905 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/3af36f878e83232e4ea084e1bc2bc548854f8f9f

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Citations in the corpus

Can volume predict Bitcoin returns and volatility? A quantiles-based approach (2017, neutral): “7 and Hayes (2016) show that the cost of producing a Bitcoin via mining adds some fundamental value to Bitcoins.”
Virtual Relationships: Short- and Long-run Evidence from BitCoin and Altcoin Markets (2017, background): “According to Gervais, Kaniel, and Mingelgrin (2001); Grullon, Kanatas, and Weston (2004); Barber and Odean (2008) and Ciaian, Rajcaniova and Kancs (2016a), the information access (and thus attractiveness) to potential investors' decisions can be affected by an increase or decrease of attention in…”
Geographic Dispersion and Stock Returns (2012, neutral): “S. firms (Foerster and Karolyi, 1999), trading volume (Gervais, Kaniel, and Mingelgrin, 2001; Kaniel, Ozoguz, and Starks, 2012), media attention (Fang and Peress, 2009), and a measure of the shadow cost of incomplete information (Bodnaruk and Östberg, 2008). implications for unconditional stock…”
Disagreement and Learning: Dynamic Patterns of Trade (2010, neutral): “For instance, He and Wang (1995) develop a dynamic model of trading volume with private and public information that leads to interesting patterns in trading volume. Kim and Verrecchia (1991) show that in a setup with heterogeneous private information, volume is proportional to the absolute price cha”
Prospect Theory, Mental Accounting, and Momentum (2005, methodology): “control for the possible effects of volume, such as those described in Lee and Swaminathan (2000) and Gervais et al. (2001), by including V̄ j t 52:t 1, stock j’s average weekly turnover over the 52 weeks prior to week t as a regressor (and in later regressions, interaction terms, computed as the pr”
The economics of BitCoin price formation (2014, background): “According to Gervais, Kaniel, and Mingelgrin (2001); Grullon, Kanatas, and Weston (2004) and Barber and Odean (2008), potential investors’ and users’ decisions can be affected by an increase or decrease of attention in the news media.”
Investor attention and stock market activity: Evidence from France (2013, background): “2 Trading volume (Gervais et al., 2001;Hou et al., 2006; Barber andOdean, 2008),media coverage (Barber and Odean, 2008; Yuan, 2011), advertising expenditure (Grullon et al.”
Retail investor attention and stock price crash risk: Evidence from China (2019, background): “…and Jin et al. (2017)), (4) the number of times for which a stock is mentioned in news on Sina Finance (Antweiler and Frank (2004), Das and Chen (2007), Kim and Kim (2014), and Bajo et al. (2016)), and (5) trading volume (Gervais et al. (2001), Peng and Xiong (2006), and Barber and Odean (2008)).”