Volume and Autocovariances in Short-Horizon Individual Security Returns
检验了交易量与个股短期回报模式的关系，发现高交易量股票出现价格反转，低交易量股票回报正自相关，表明交易活动是预测个股回报的重要指标。
This article tests for the relations between trading volume and subsequent returns patterns in individual securities' short-horizon returns that are suggested by such articles as Blume, Easley, and O'Hara (1994) and Campbell, Grossman, and Wang (1993). Using a variant of Lehmann's (1990) contrarian trading strategy, we find strong evidence of a relation between trading activity and subsequent autocovariances in weekly returns. Specifically, high-transaction securities experience price reversals, while the returns of low-transactions securities are positively autocovarying. Overall, information on trading activity appears to be an important predictor of the returns of individual securities.