The High‐Volume Return Premium
研究发现，单日或单周交易量异常高的股票往往在接下来一个月上涨，交易量异常低的股票则下跌。这种高成交量回报溢价可能与交易冲击影响股票可见性，进而改变后续需求和价格有关。
The idea that extreme trading activity contains information about the future evolution of stock prices is investigated. We find that stocks experiencing unusually high (low) trading volume over a day or a week tend to appreciate (depreciate) over the course of the following month. We argue that this high‐volume return premium is consistent with the idea that shocks in the trading activity of a stock affect its visibility, and in turn the subsequent demand and price for that stock. Return autocorrelations, firm announcements, market risk, and liquidity do not seem to explain our results.