Dynamic Volume-Return Relation of Individual Stocks
研究个股收益率与成交量的动态关系，通过模型区分风险分担交易和投机交易对收益率自相关的影响，并用NYSE和AMEX数据验证了理论预测。
We examine the dynamic relation between return and volume of individual stocks. Using a simple model in which investors trade to share risk or speculate on private information, we show that returns generated by risk-sharing trades tend to reverse themselves, while returns generated by speculative trades tend to continue themselves. We test this theoretical prediction by analyzing the relation between daily volume and first-order return autocorrelation for individual stocks listed on the NYSE and AMEX. We find that the cross-sectional variation in the relation between volume and return autocorrelation is related to the extent of informed trading in a manner consistent with the theoretical prediction.