Price Momentum and Trading Volume

By Charles M.C. Lee, Bhaskaran Swaminathan. 2000

1,594 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/424132ab7046d5b7afb78b226725ebb6c7aed4ba

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Citations in the corpus

Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers (2000, result): “Consistent with the findings in Lee and Swaminathan (2000), this analysis shows that a majority of the high BM portfolio’s “winners” are in the low share turnover portfolio.”
Information Uncertainty and Expected Returns (2005, background): “1. A representative, non-exhaustive, list of references for these results includes: Volatility (Ang et al., 2003); Volume (Datar et al., 1998; Lee and Swaminathan, 2000 ); Expected growth (LaPorta, 1996); PB (Fama and French, 1992); Analyst dispersion (Diether et al., 2002); Duration of future cash”
Stock Selection Strategies in Emerging Markets (2003, methodology): “The average excess return of the TMB portfolio based on prior 6-month returns is similar to the excess return reported by Rouwenhorst (1999), even though his winners and losers portfolios include stocks from the top and bottom 30 percent of the prior return distribution.”
European Momentum Strategies, Information Diffusion, and Investor Conservatism (2005, neutral): “(1993), Hong, Lim, and Stein, 2000)) and European markets (Rouwenhorst (1998)).”
Cross-Sectional and Time-Series Determinants of Momentum Returns (2002, background): “Early evidence in Jegadeesh and Titman and more recent evidence in Jegadeesh and Titman (2001) and Lee and Swaminathan (2000) support the implications of these behavioral models.”
Stock Returns after Major Price Shocks: The Impact of Information (2012, background): “Lee and Swaminathan (2000) nd that trading volume can help reconcile shorter-term underreaction to longer-term overreaction in stock returns, while Conrad, Hameed, and Niden (1994) show that stocks with low trading volume actually experience drift over weekly horizons.”
An investigation into the role of liquidity in asset pricing: Australian evidence (2003, background): “In particular, we choose two important cases: (a) the potentially competing role of a ‘momentum’ factor (for example, Lee and Swaminathan (2000)) and (b) the possibility that there are important non- linearities in the asset pricing relationship (Chordia, Subrahmanyam and Anshuman (2001)).”
Time-Varying Liquidity Risk and the Cross Section of Stock Returns (2008, neutral): “…returns or explain the cross-sectional variation in returns [see, among others, Ang, Hodrick, Xing, and Zhang (2006), Goyal and Santa-Clara (2003), and Spiegel and Wang (2005) for idiosyncratic volatility, and Brennan, Chordia, and Subrahmanyam (1998) and Lee and Swaminathan (2000) for volume].”
Predicting stock price movements from past returns: The role of consistency and tax-loss selling (2004, methodology): “In general, the investment strategies we formulate generate higher returns among high turnover stocks, consistent with Lee and Swaminathan (2000).”
The Role of Shorting, Firm Size, and Time on Market Anomalies (2013, background): “Consistent with this view, many behavioral theories suggest stronger returns among smaller, less liquid securities and when there is negative news (Hong and Stein, 1998; Hong, Lim, and Stein, 2000; Lee and Swaminathan, 2000).”