Price Momentum and Trading Volume
研究发现过去交易量连接了动量策略和价值策略：高换手率公司呈现魅力股特征、未来收益低且盈利意外持续为负，低换手率公司则相反；交易量还能预测动量效应的强弱和反转速度。
This study shows that past trading volume provides an important link between “momentum” and “value” strategies. Specifically, we find that firms with high (low) past turnover ratios exhibit many glamour (value) characteristics, earn lower (higher) future returns, and have consistently more negative (positive) earnings surprises over the next eight quarters. Past trading volume also predicts both the magnitude and persistence of price momentum. Specifically, price momentum effects reverse over the next five years, and high (low) volume winners (losers) experience faster reversals. Collectively, our findings show that past volume helps to reconcile intermediate‐horizon “underreaction” and long‐horizon “overreaction” effects.