Author(s): JENNIFER S.CONRAD,ALLAUDEEN HAMEED, CATHY NIDEN
Abstract: This article tests for the relation 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 autocovatiances in weekly returns. Specifically, high-transation securities experience price reversals,while the returns of low-transactions securities are positively autocovarying. overall,information on trading activity appears to ba an important predictor of the returns of individual securities.
