Do Trading Volume and Downside Trading Volume Help Forecast the Downside Risk?
نویسندگان
چکیده
منابع مشابه
Overconfidence and Trading Volume
Theoretical models predict that overconfident investors will trade more than rational investors. We directly test this hypothesis by correlating individual overconfidence scores with several measures of trading volume of individual investors (number of trades, turnover). Approximately 3000 online broker investors were asked to answer an internet questionnaire which was designed to measure vario...
متن کاملPrice Momentum and Trading Volume
This study shows that past trading volume provides an important link between “momentum” and “value” strategies. Specifically, we find that firms with high ~low! past turnover ratios exhibit many glamour ~value! characteristics, earn lower ~higher! future returns, and have consistently more negative ~positive! earnings surprises over the next eight quarters. Past trading volume also predicts bot...
متن کاملExtracting Information from Trading Volume
This paper shows how to extract information from equilibrium trading volume. The analysis is rst carried out in a market-clearing framework with symmetrically (and later normally) distributed demands, and is then extended to include market-making models. The conclusions of this paper hence apply to the majority of the models developed in the noisy rational expectations literature. If a random v...
متن کاملTrading Volume in Dealer Markets ∗
We develop a financial market trading model in the tradition of Glosten and Milgrom (1985) that allows us to incorporate non-trivial volume. We observe that in this model price volatility is positively related to the trading volume and to the absolute value of the net order flow, i.e. the order imbalance. Moreover, higher volume leads to higher order imbalances. These findings are consistent wi...
متن کاملMeasures of downside risk
The paper characterizes a family of downside risk measures. They depend on a target value and a parameter reflecting the attitude towards downside risk. The indicators are probability weighted −order means of possible shortfalls. They form a subclass of the measures intro¬duced by Stone (1973) and are related to the measures proposed by Fishburn (1977). The axiomatization is based on some prope...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: EURASIA Journal of Mathematics, Science and Technology Education
سال: 2017
ISSN: 1305-8223
DOI: 10.12973/ejmste/78634