The Real Side of the High-Volume Return Premium
研究发现股票异常交易量增加会伴随未来投资支出和融资现金流上升，且这一关系在财务约束强和投资者认知度低的公司中更显著，为高成交量回报溢价提供了企业真实决策层面的解释。
Prior literature demonstrates that increased trading activity of a firm’s stock is associated with abnormal future stock returns (the high-volume return premium) and interprets this phenomenon as evidence that increased visibility generates reductions in cost of capital. Motivated by this interpretation, we investigate whether increased trading activity entails changes in real corporate actions. We document a positive relation between abnormal trading volume, future investment expenditures, and financing cash flows. This positive relation is not subsumed by the arrival of investment-related news or other corporate disclosures or by subsequent earnings information and is concentrated among firms with high financial constraints and firms with lower levels of investor recognition. This paper was accepted by David Simchi-Levi, finance.