Trading Volume and Cross‐Autocorrelations in Stock Returns
发现交易量显著影响股票收益的领先滞后模式，高交易量组合的日度和周度收益领先低交易量组合，且这一现象源于低交易量组合对市场信息反应较慢。
This paper finds that trading volume is a significant determinant of the lead‐lag patterns observed in stock returns. Daily and weekly returns on high volume portfolios lead returns on low volume portfolios, controlling for firm size. Nonsynchronous trading or low volume portfolio autocorrelations cannot explain these findings. These patterns arise because returns on low volume portfolios respond more slowly to information in market returns. The speed of adjustment of individual stocks confirms these findings. Overall, the results indicate that differential speed of adjustment to information is a significant source of the cross‐autocorrelation patterns in short‐horizon stock returns.