Volume Based Portfolio Strategies: Analysis of the Relationship Between Trading Activity and Expected Returns in the Cross-section of Swiss Stock

Alexander Brandle

Volume Based Portfolio Strategies: Analysis of the Relationship Between Trading Activity and Expected Returns in the Cross-section of Swiss Stock
Format
Paperback
Publisher
Springer Fachmedien Wiesbaden
Country
Germany
Published
24 February 2010
Pages
320
ISBN
9783834921062

Volume Based Portfolio Strategies: Analysis of the Relationship Between Trading Activity and Expected Returns in the Cross-section of Swiss Stock

Alexander Brandle

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Alexander Brandle investigates the relationship between different measures of trading volume and returns in the Swiss stock market. He discovers that stocks with unusual trading volume in a given month experience systematically higher subsequent returns.

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