异常交易量的信息含量

IF 2.2 3区经济学 Q2 BUSINESS, FINANCE

European Journal of Finance Pub Date : 2009-03-01 DOI:10.1111/j.1468-5957.2010.02197.x

E. Bajo

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引用次数: 39

摘要

本文研究了异常交易量向市场参与者揭示新信息的方式。一般认为，交易量是信息流动的有效代理，增强了投资者的信息集。然而，没有研究将异常交易量的存在与公司特征(如所有权和治理结构)联系起来，这些特征也与信息质量有理论联系。我发现在极端交易水平附近有很强的超额回报，这与信息披露只有适度的关系。此外，这些回报不是由流动性波动引起的，因为价格在随后一段时间内不会逆转。相比之下，有证据表明价格势头强劲，这表明交易员可以根据对当前交易量的观察实施成功的投资组合策略。版权所有(c) 2010布莱克威尔出版有限公司

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The Information Content of Abnormal Trading Volume

This paper investigates the way in which abnormal trading volume reveals new information to market participants. It is generally thought that trading volume is an efficient proxy for information flow and enhances the information set of investors. However, no research has related the presence of abnormal trading volume to firm characteristics, such as ownership and governance structure, which also have a theoretical link to information quality. I find strong excess returns around extreme trading levels, which are only moderately attributable to information disclosure. Moreover, these returns are not caused by liquidity fluctuations since prices do not reverse over the following period. In contrast, there is evidence of price momentum, suggesting that traders can implement successful portfolio strategies based on observation of current volumes. Copyright (c) 2010 Blackwell Publishing Ltd.

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来源期刊

European Journal of Finance BUSINESS, FINANCE-

CiteScore

5.40

自引率

8.00%

发文量

期刊介绍： The European Journal of Finance publishes a full range of research into theoretical and empirical topics in finance. The emphasis is on issues that reflect European interests and concerns. The journal aims to publish work that is motivated by significant issues in the theory or practice of finance. The journal promotes communication between finance academics and practitioners by providing a vehicle for the publication of research into European issues, stimulating research in finance within Europe, encouraging the international exchange of ideas, theories and the practical application of methodologies and playing a positive role in the development of the infrastructure for finance research.