The Information Content of Abnormal Trading Volume
研究了异常交易量如何向市场参与者揭示新信息，发现极端交易量附近存在超额收益，且这些收益并非由流动性波动引起，而是存在价格动量，投资者可据此制定交易策略。
Abstract: 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.