High-Volume Return Premium on the Stock Markets in Warsaw and Vienna

• Autorzy: Tomasz Wójtowicz
• Języki publikacji: EN

Abstrakty

EN

In this paper we analyze the properties of the high-volume return premium on the Warsaw Stock Exchange and on the Vienna Stock Exchange. The premium arises from the different behaviour of returns of stocks with unusually high trading volume and stocks with unusually low relative trading volume. The analysis of monthly returns confirms the existence of the high-volume return premium on the WSE and shows significantly positive returns of volume-based portfolios. Our study also indicates the insignificance of the high-volume return premium on the Vienna Stock Exchange, where an adverse effect of large companies is observed. The paper also examines possible factors that impact the magnitude of the premium on the WSE. We find that returns of volume portfolios depend on firms' capitalization and momentum. However, the Fama-French four-factor asset pricing model does not explain the premium or the differences in returns of volume portfolios. (original abstract)

Słowa kluczowe

EN

Stock market; Shares; Trading volume; Asset valuation; Capital risk

PL

Giełda papierów wartościowych; Akcje; Wolumen obrotu; Wycena aktywów; Ryzyko kapitałowe

• Czasopismo: Bank i Kredyt
• Rocznik: 2017
• Numer: nr 4
• Strony: 375--402

Twórcy

autor

Tomasz Wójtowicz

• AGH University of Science and Technology Kraków, Poland

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