Trading Volume and Cross‐Autocorrelations in Stock Returns

116 citations recorded by the source corpus.

Citations in the corpus

An Analysis of Covariance Risk and Pricing Anomalies (2003, unknown): “Wednesday to Wednesday closing prices are used to compute weekly returns since Chordia and Swaminathan (2000) , Hou (2001), and others document high autocorrelations using Friday to Friday prices and low autocorrelations using Monday to Monday prices.”
Does Option Trading Convey Stock Price Information (2014, unknown): “where Retit+1 is the four factor risk-adjusted return of stock i on day t+1, and Xit is a set of control variables, including closing bid-ask spread of the stock and stock turnover ratio to control for trading volume studied by Chordia and Swaminathan (2000) and Gervais, Kaniel, and Mingelgrin (2001”
Market-Wide Impact of the Disposition Effect: Evidence from Ipo Trading Volume (2004, unknown): “Similarly to most recent studies (e.g. Smith Bamber, Barron, and Stober 1999; Chordia and Swaminathan 2000) I use turnover (number of shares traded divided by the number of shares outstanding) as a measure of volume5.”
The Effects of Inflation News on High Frequency Stock Returns (2004, unknown): “Chordia and Swaminathan (2000) show that the response to common news takes longer for low-volume stocks than for their higher-volume counterparts.”