Anmerkungen:
In: Journal of Business Finance and Accounting, Forthcoming
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 1, 2009 erstellt
Beschreibung:
This paper empirically investigates how abnormal trading volume reveals new information to market participants. Trading volume is generally regarded as a good proxy for information flow and theory argues that it enhances the information set of investors. However, as yet, no research has related the presence of abnormal trading volume to firm characteristics, such as ownership and governance structure, which also has a theoretical link to information quality. I find strong excess returns around extreme trading levels, which is only moderately attributable to information disclosure. Moreover, these returns are not caused by liquidity fluctuations since prices do not reverse over the following period. In contrast, and in violation of the semi-strong form of market efficiency, there is evidence of price momentum, suggesting that traders can implement successful portfolio strategies based on the observation of current volumes. Consistent with the hypotheses presented in this study, the information content of abnormal trading volume is related to ownership characteristics, such as the level of control and the family-firm status