Trading volume, return variability and short-term momentum
提出用日度股票交易量和收益波动性的短期均值作为公司新闻流的代理变量，发现基于这两个指标的条件动量策略能显著提高赢家减输家的超额收益，且价格漂移在交易量和波动性较高时更大，支持价格对新闻反应不足的观点。
We propose short-term averages of daily stock-level trading volume and return variability as proxies for latent corporate news flow. Conditioning momentum strategies on these two proxies give a significant boost to winner-minus-loser alphas. Regardless of the portfolio formation and holding periods, price drift is larger after elevated levels of volume and variability, supporting the view that prices underreact to news. This pattern is not driven by micro-cap stocks and it is robust to corrections for systematic risk factors and stock characteristics such as liquidity and credit quality.