Trading Volume and Serial Correlation in Stock Returns

By John Y. Campbell, Sanford J. Grossman, Jiang Wang. 1993

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Citations in the corpus

Journalists and the Stock Market (2012, background): ““Are Some Mutual Fund Managers Better Than Others? Cross-Sectional Patterns in Behavior and Performance,” Journal of Finance 54 (3), 875-899.”
Individual Investors and Volatility (2011, methodology): “Derrien (2007) show that French IPOs in high demand by individuals are more likely to underperform.1 In models such as DeLong et al.(1990), Campbell et al.(1993), Campbell and Kyle (1993) or Llorente et al.(2002), limited risk bearing capacity prevents sophisticated investors (e.g., liquidity…”
Portfolio Choice and Trading Volume with Loss Averse Investors (2005, unknown): “This is the same mechanism as in Grossman and Zhou (1996), and it is consistent with the empirical evidence (see Andersen 1996; Jones, Kaul, and Lipson 1994; or Gallant, Rossi, and Tauchen 1992).”
Stock Market Uncertainty and the Stock-Bond Return Relation (2005, methodology): “Next, we form a detrended turnover measure in the spirit of Campbell, Grossman, and Wang (1993) and Chen, Hong, and Stein (2001).”
Liquidity and Asset Returns Under Asymmetric Information and Imperfect Competition (2011, methodology): “Their algorithm is based on the assumption that trade initiators—liquidity demanders—use mostly 11 The overlap is larger betweenλ and the conditional price reversal of Campbell, Grossman, and Wang (1993) because both measures condition on signed volume.”
A liquidity-augmented capital asset pricing model (2006, result): “This evidence is consistent with the volume-related return reversals documented by Campbell et al. (1993). The LM6 measure shows a similar premium to the LM12 measure over different holding periods.”
Liquidity and Market Crashes (2009, unknown): “See, for example, French, Schwert, and Stambaugh (1987), and Campbell and Hentschel (1992).”
Can Hedge Funds Time Market Liquidity (2012, unknown): “4 Chan et al. (2005) study systemic risk and conclude that systemic risk is rising while the hedge fund industry is heading into a challenging period of lower expected returns.”
News-Driven Return Reversals: Liquidity Provision Ahead of Earnings Announcements (2014, unknown): “is consistent with Madhavan and Smidt (1993) and Jegadeesh and Titman (1995), which find 7Larger reversals among low PAR firms are consistent with Comerton-Forde et al. (2010) who find that NYSE specialists have positive net positions 94% of the time (not specific to announcements) and suggests that”