THE INFORMATION CONTENT OF ABNORMAL TRADING VOLUME: An analysis of Italian Stock Market
نویسنده
چکیده
The role of abnormal trading volume on Italian Stock Market is here investigated. According to Fama’s definition of Market Efficiency, no relevancy is left for trading volume. Prices fully reflect all the firm information, so that extra trading investor’s activity cannot have any informative power. In this paper, it is supposed that abnormal volumes can be considered as a signal for informed traders operating on the stocks and, as a consequence, this extra trading activity might lead to future extra-returns. Some evidence following this hypothesis is found on this paper. Abnormal trading volume, associated with no new announcements, tend to predict future abnormal returns and anticipate a new information release on stock market. A profitable possible portfolio strategy based on abnormal volume signals is also proposed and analysed. JEL classification: G14
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