TY  - JOUR
AU  - Llorente,Guillermo
AU  - Michaely,Roni
AU  - Saar,Gideon
AU  - Wang,Jiang
TI  - Dynamic Volume-Return Relation of Individual Stocks
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 8312
PY  - 2001
Y2  - May 2001
UR  - http://www.nber.org/papers/w8312
L1  - http://www.nber.org/papers/w8312.pdf
N1  - Author contact info:
Roni Michaely
Johnson Graduate School of Management
431 Sage Hall
Cornell University
Ithaca, NY 14853
Tel: 607/255-3491
Fax: 607/255-9431
E-Mail: rm34@cornell.edu

Gideon Saar
Johnson Graduate School of Management
Cornell University
455 Sage Hall
Ithaca, NY  14853
E-Mail: gs25@cornell.edu

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  - We examine the dynamic relation between return and volume of individual stocks.  Using a simple model in which investors trade to share risk or speculate on private information, we show that returns generated by risk-sharing trades tend to reverse themselves while returns generated by speculative trades tend to continue themselves.  We test this theoretical prediction by analyzing the relation between daily volume and first-order return autocorrelation for individual stocks listed on the NYSE and AMEX.  We find that the cross-sectional variation in the relation between volume and return autocorrelation is related to the extent of informed trading in a manner consistent with the theoretical prediction.
ER  -