Campbell, John, Sanford J. Grossman, and Jiang Wang (1993), `Trading Volume and Serial Correlation in Stock Returns,' Quarterly Journal of Economics, Vo l . 108, pp. 905-939. Home/Search Document Not in Database Summary Related Articles Check |
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The Halloween Indicator, `Sell in May and Go Away': Another.. - Bouman, Jacobsen (1999) (Correct)
....composition due to a need for cash or changing risk aversion over time this might put a substantial pressure on prices in financial markets during vacation periods. In the paper we illustrate that in a simple theoretical model in the spirit of De Long, Shleifer, Summers and Waldmann (1990) and Campbell, Grossman and Wang (1993) 2 Whenever we refer in this paper to summer or winter period we take it to mean the MayOctober period or April November period, respectively. 5 seasonality in stock returns can easily occur when either the number of investors or the degree of risk aversion changes over time. The intuition ....
....the two half year periods Moreover, will this difference in returns continue to exist once investors anticipate the shifts in either risk aversion or the number of traders. To answer these questions we start with a simple model in the spirit of De Long, Shleifer, Summers and Waldmann (1990) and Campbell, Grossman and Wang (1993). The intuition behind our model is straightforward. Investors in the economy bear the financial risk in the economy. When there is either a (negative) shift in the number of investors (or when there is increasing risk aversion) the risk bearing capacity in the economy decreases and the ....
Campbell, J.Y, S. J. Grossman and J. Wang, (1993) Trading Volume and Serial Correlation in Stock Returns, The Quarterly Journal of Economics, ,pp. 905-939.
Learning the True Index Level: Index Return Autocorrelation in.. - Safvenblad (1999) (Correct)
.... following predictable patterns, typically mean reversion, and 1 See Boudoukh et al. 1994) 2 See, e.g. Atchison et al. 1987) Berglund and Liljeblom (1988) Lo and MacKinlay (1990a) Mech (1993) 2 that, as a result, observed returns will be positively autocorrelated (See, for example, Campbell et al. 1993). However, under time varying risk premia the same autocorrelation is expected to be visible in related asset returns such as individual stock returns or index futures returns. However, both these asset classes have consistently proved not to have serially correlated short term returns. 3 In ....
....in a setting with minimal nontrading. In addition, the physical trading arrangements should be as close to the theoretical model as possible. 19 Tab l e 2 : Selected empirical evidence on index return autocorrelation Source Series Sample period Return frequency First autocorrelation Campbell et al. 1993) crsp vw 1950 62 daily 0.13 ## 1962 74 daily 0.28 ## 1975 87 daily 0.17 ## Atchison et al. 1987) crsp ew 1978 81 daily 0.17 ## crsp vw 1978 81 daily 0.31 ## Lo and MacKinlay (1990b) crsp ew small stocks 1962 87 daily 0.35 ## crsp ew large stocks 1962 87 daily 0.17 ## Berglund and ....
Campbell, John Y., Sanford J. Grossman, and Jiang Wang,"Trad- ing Volume and Serial Correlation in Stock Returns," Quarterly Journal of Economics, November 1993, pp. 905--939.
The Wildcard Option in Transacting Mutual-Fund Shares - Chalmers, Edelen, Kadlec (Correct)
....their value exceeds the cost of transacting (Goldman and Sosin (1979) 7 Time varying expected returns has also been offered as a potential source of autocorrelation in short horizon portfolio returns. See e.g. Keim and Stambaugh (1986) Conrad and Kaul (1988) and Conrad and Kaul (1989) and Campbell, Grossman, and Wang (1993). 13 11 16 99 Table 2 reports estimates of the average exercise value of the MF wildcard option when the fund s daily return is in the tails of the distribution of daily returns. This arguably provides a more meaningful estimate of the value of the wildcard option than that inferred from ....
Campbell, J., S. Grossman, and J. Wang, 1993, Trading volume and serial correlation in stock returns, Quarterly Journal of Economics 108 (4), 905-939.
Price Momentum and Trading Volume - Lee, Swaminathan (1998) (1 citation) (Correct)
....returns, or industry effects. 4 None of these studies 5 examine the interaction between past trading volume and past price movements in predicting cross sectional returns. At least two theoretical papers suggest that past trading volume may provide valuable information about a security. Campbell, Grossman, and Wang (1993) present a model in which trading volume proxies for the aggregate demand of liquidity traders. However, their model focuses on short run liquidity imbalances (or volume shocks) of a daily or weekly duration, and makes no predictions about longer term returns. Blume, Easley, and O Hara (1994) ....
....et al. show that, at weekly intervals, the price reversal pattern is observed only for heavily traded stocks; less traded stocks exhibit return continuation. 5 The Conrad et al. study focuses on short term price movements, because it is motivated by market microstructure concerns raised in Campbell, Grossman, and Wang (1993). Our interest lies in the prediction of cross sectional returns over longer (three month and longer) horizons. In the intermediate time horizon, the empirical puzzle is not return reversal, but return continuation. Given the longer time horizons, these price continuations are unlikely to be due ....
Campbell, John Y., Sandord J. Grossman, and Jiang Wang, 1993, Trading volume and serial correlation in stock returns, Quarterly Journal of Economics 107, 905-939.
Idiosyncratic Risk and Security Returns - Burton Malkiel Department (2000) (1 citation) (Correct)
No context found.
Campbell, John, Sanford J. Grossman, and Jiang Wang (1993), `Trading Volume and Serial Correlation in Stock Returns,' Quarterly Journal of Economics, Vo l . 108, pp. 905-939.
Global Optimization of Costly Nonconvex Functions, with.. - Hellström, Holmström (2001) (Correct)
No context found.
Campbell, J. Y., Grossman, S. J. and Wang, J., Trading volume and serial correlation in stock returns, Quarterly Journal of Economics, ###, (1993), 905-940.
Empirical Properties of Asset Returns: Stylized Facts and.. - Cont (2001) (2 citations) (Correct)
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Campbell J, Grossmann S and Wang J 1993 Trading volume and serial correlation in stock returns Q. J. Economics 108 905--39
Causality between Returns and Traded Volumes - Ghysels, Gourieroux, Jasiak (1998) (Correct)
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Campbell, J., Grossman, S. and J. Wang (1991): "Trading Volume and Serial Correlation in Stock Returns", Working Paper, Princeton University.
Index Funds and Stock Market Growth - Goetzmann, Massa (1999) (1 citation) (Correct)
No context found.
Campbell, J., Grossman, S. and J. Wang., 1992 "Trading volume and serial correlations in stock returns", NBER Working Paper #4193
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