Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 24, 2005 erstellt
Beschreibung:
The role of abnormal trading volume on the Italian Stock Market is investigated here. According to Fama's definition of Market Efficiency, no relevancy is left for trading volume. Prices fully reflect the whole firm information, so that extra trading investor's activity cannot have any informative power. In this paper, it is supposed that abnormal volumes can be considered as a signal for informed traders operating on the stocks and, as a consequence, this extra trading activity might lead to future extra-returns. Some evidence following this hypothesis is found on this paper. Abnormal trading volume, associated with no new announcements, tends to predict future abnormal returns and anticipates a new information release on stock market. A profitable possible portfolio strategy based on abnormal volume signals is also proposed and analysed