Author(s): SIMON GERVAIS , RON KANIEL AND H.MINGELGRIN
Abstract: This idea that extreme trading activity contains information about the future evolution of stock prices is invesetigated.we find that stocks experiencing unusually high(low) trading volume over a day or a week tend to appreciate (depreciate) over the course of the following month.we argue that this high-volume return premium is consistent with the idea that shocks in the trading activity of a shock affect its visibility,and in turn the subsequent demand and price for that stock.Return autocorrelations,firm announcements,market risk,and liquidity do not seem to explain our results.