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Issue 5(1), October 2010 -- Paper Abstracts

Girard  (p. 9-22)

Cooper (p. 23-32)

Kunz-Osborne (p. 33-41)

Coulmas-Law (p.42-46)

Stasio (p. 47-56)

Albert-Valette-Florence (p.57-63)

Zhang-Rauch (p. 64-70)

Alam-Yasin (p. 71-78)

Mattare-Monahan-Shah (p. 79-94)

Nonis-Hudson-Hunt (p. 95-106)

JOURNAL OF ACCOUNTING AND FINANCE

The High-Volume Return Premium: Evidence from the

Australian Equity Market

Author(s): Tiantian Tang, Liping Zou, Jing Li

Citation: Tiantian Tang, Liping Zou, Jing Li, (2013) "The High-Volume Return Premium: Evidence from the Australian Equity Market," Journal of Accounting and Finance, Vol. 13, Iss. 5, pp. 74 - 93

Article Type: Research paper

Publisher: North American Business Press

Abstract:

The relationship between the trading volume and changes in expected return is investigated in this

research. Daily and weekly data are used to examine if trading volumes have predictive power for stock

prices in the following days/weeks. Results suggested that stocks experiencing extreme higher (low)

volumes are usually followed by relatively higher (low) returns for large firms in Australian market only

for a short horizon. However, the volume-return premium cannot be found for small firms during the

same time period. Possible explanations for this high volume return premium include: return

autocorrelation, systematic risk and outliers.