TY  - JOUR
AU  - Campbell,John Y.
AU  - Grossman,Sanford J.
AU  - Wang,Jiang
TI  - Trading Volume and Serial Correlation in Stock Returns
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 4193
PY  - 1992
Y2  - October 1992
UR  - http://www.nber.org/papers/w4193
L1  - http://www.nber.org/papers/w4193.pdf
N1  - Author contact info:
John Y. Campbell
Morton L. and Carole S.
Olshan Professor of Economics
Department of Economics
Harvard University
Littauer Center 213
Cambridge, MA 02138
Tel: 617/496-6448
Fax: 617/495-7730
E-Mail: john_campbell@harvard.edu

Sanford J. Grossman
QFS Asset Management, L.P.
10 Glenville Street
Greenwich, CT 06831
Tel: 203/983-5600
Fax: 203/532-8250
E-Mail: sgrossman@qfsfunds.com

Jiang Wang
MIT Sloan School of Management
100 Main Street, E62-614
Cambridge, MA 02142
Tel: 617/253-2632
Fax: 617/258-6855
E-Mail: wangj@mit.edu
AB  - This paper investigates the relationship between stock market trading volume and the autocorrelations of daily stock index returns. The paper finds that stock return autocorrelations tend to decline with trading volume. The paper explains this phenomenon using a model in which risk-averse "market makers" accommodate buying or selling pressure from "liquidity" or "non-informational" traders. Changing expected stock returns reward market makers for playing this role. The model implies that a stock price decline on a high-volume day is more likely than a stock price decline on a low-volume day to be associated with an increase in the expected stock return.
ER  -