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Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory

https://doi.org/10.1093/rfs/13.2.257
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Aspects of Multivariate Statistical Theory
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The structure of investor preferences and asset returns, and separability in portfolio allocation: A contribution to the pure theory of mutual funds
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Asset pricing and the bid-ask spread
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A test of dividend irrelevance using volume reactions to a change in dividend policy
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Dividend capture in NASDAQ stocks
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A Microstructure Analysis of Ex-Dividend Stock Price Behavior Before and After the 1984 and 1986 Tax Reform Acts
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A Model of Competitive Stock Trading Volume
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Capital Market Equilibrium with Restricted Borrowing
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Dividend Behavior for the Aggregate Stock Market
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Changes in the Standard and Poor's 500 List
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Two-Person Dynamic Equilibrium in the Capital Market
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Stock Prices and Volume
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The Effect of Tax Heterogeneity on Prices and Volume around the Ex-Dividend Day: Evidence from the Milan Stock Exchange
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Differential Information and Dynamic Behavior of Stock Trading Volume
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Trading Volume with Private Valuation: Evidence from The Ex-Dividend Day
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INSTITUTIONAL TRADING AND SECURITY PRICES: THE CASE OF CHANGES IN THE COMPOSITION OF THE S&P 500 INDEX
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MARKET STRUCTURE AND REPORTED TRADING VOLUME: NASDAQ VERSUS THE NYSE
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The Relation Between Common Stock Returns Trading Activity and Market Value
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A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market
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Do Demand Curves for Stocks Slope Down?
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Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures
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Volume for Winners and Losers: Taxation and Other Motives for Stock Trading
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A Simple Model of Capital Market Equilibrium with Incomplete Information
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Institutional Ownership and Changes in the S&P 500
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Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects
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Volume and Autocovariances in Short-Horizon Individual Security Returns
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Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation
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Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility
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MARKET EFFECTS OF CHANGES IN THE STANDARD & POOR'S 500 INDEX
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Trading Turnover and Expected Stock Returns: The Trading Frequency Hypothesis and Evidence from the Tokyo Stock Exchange
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Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model
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Stock Market Prices and Volumes of Sales
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An Intertemporal General Equilibrium Model of Asset Prices
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The Price Variability-Volume Relationship on Speculative Markets
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Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
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Funds, Factors, and Diversification in Arbitrage Pricing Models
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The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis
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An Intertemporal Capital Asset Pricing Model
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Trading Volume and Serial Correlation in Stock Returns
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Liquidity Preference as Behavior Towards Risk
inferredcites →https://doi.org/10.2307/2328545openalex-snapshot
Ex-Dividend Day Stock Price Behavior: The Case of the 1986 Tax Reform Act
inferredcites →https://doi.org/10.2307/2330176openalex-snapshot
Asymmetrical Information in Securities Markets and Trading Volume
inferredcites →https://doi.org/10.2307/2330874openalex-snapshot
The Relation Between Price Changes and Trading Volume: A Survey
inferredcites →https://doi.org/10.2307/2331067openalex-snapshot
The Dependence between Hourly Prices and Trading Volume
inferredcites →https://doi.org/10.2307/2331116openalex-snapshot
Investors' Heterogeneity, Prices, and Volume around the Ex-Dividend Day
inferredcites →https://doi.org/10.2307/2331153openalex-snapshot
The Risk and Required Return of Common Stock following Major Price Innovations
inferredcites →https://doi.org/10.2307/2331242openalex-snapshot
The Ex-Dividend Behavior of Nonconvertible Preferred Stock Returns and Trading Volume
inferredcites →https://doi.org/10.2307/2490070openalex-snapshot
The Information Content of Annual Earnings Announcements
inferredcites →https://doi.org/10.2307/2490803openalex-snapshot
The Information Content of Annual Earnings Releases: A Trading Volume Approach
inferredcites →https://doi.org/10.2307/2975974openalex-snapshot
Portfolio Selection
inferredcites →https://doi.org/10.2308/tar-4496039openalex-snapshot
Unexpected Earnings, Firm Size, and Trading Volume Around Quarterly Earnings Announcements.
inferredcites →https://doi.org/10.2469/faj.v42.n2.64openalex-snapshot
Does Delisting from the S&P 500 Affect Stock Price?
inferredcites →https://doi.org/10.2469/faj.v42.n3.43openalex-snapshot
Liquidity and Stock Returns
inferredcites →https://doi.org/10.2469/faj.v43.n1.58openalex-snapshot
The Effect on Stock Price of Inclusion in or Exclusion from the S&P 500
inferredcites →https://doi.org/10.2469/faj.v44.n6.73openalex-snapshot
The S&P 500 Membership Anomaly, or Would You Join this Club?
inferredcites →https://doi.org/10.2469/faj.v50.n6.57openalex-snapshot
Evidence that Trading Volume Sustains Stock Price Changes
inferredcites →https://doi.org/10.3386/w7613openalex-snapshot
Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation
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Long–Run Trends in Equity Turnover
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A Revival of the Small-Firm Effect

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Investor attention, information acquisition, and value premium: A mispricing perspective
inferred← citeshttps://doi.org/10.1016/j.irfa.2023.102993openalex-snapshot
Investor attention and market reactions to early announcements in mergers and acquisitions
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2004.10.001openalex-snapshot
Is learning a dimension of risk?
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2005.08.007openalex-snapshot
An empirical evaluation of the overconfidence hypothesis
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2007.09.023openalex-snapshot
Improving VWAP strategies: A dynamic volume approach
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2007.11.011openalex-snapshot
Common liquidity shocks and market collapse: Lessons from the market for perps
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2010.11.013openalex-snapshot
Who is the more overconfident trader? Individual vs. institutional investors
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2011.01.028openalex-snapshot
Optimal VWAP trading under noisy conditions
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2012.04.010openalex-snapshot
Option trading: Information or differences of opinion?
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2012.07.009openalex-snapshot
Does liquidity risk explain low firm performance following seasoned equity offerings?
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2013.07.011openalex-snapshot
Arbitrage risk and the turnover anomaly
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2014.09.007openalex-snapshot
Measuring the liquidity part of volume
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2015.03.006openalex-snapshot
What explains the dynamics of 100 anomalies?
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2017.04.002openalex-snapshot
Volatility spread and stock market response to earnings announcements
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2022.106755openalex-snapshot
Anticipating jumps: Decomposition of straddle price
inferred← citeshttps://doi.org/10.1016/j.jbef.2021.100480openalex-snapshot
The Ramadan effect: A standalone anomaly or just a compensation for low liquidity?
inferred← citeshttps://doi.org/10.1016/j.jbef.2021.100560openalex-snapshot
Sell-side analyst reports and decision-maker reactions: Role of heuristics
inferred← citeshttps://doi.org/10.1016/j.jbef.2026.101190openalex-snapshot
Trading dynamics and state-dependent adjustment in stablecoin peg deviations
inferred← citeshttps://doi.org/10.1016/j.jbusres.2020.04.012openalex-snapshot
Collectivism and commonality in liquidity
inferred← citeshttps://doi.org/10.1016/j.jcomm.2025.100534openalex-snapshot
Climate policy uncertainty, investor behavior, and carbon market returns
inferred← citeshttps://doi.org/10.1016/j.jcorpfin.2004.02.002openalex-snapshot
Liquidity risk, leverage and long-run IPO returns
inferred← citeshttps://doi.org/10.1016/j.jcorpfin.2015.12.014openalex-snapshot
Media-expressed negative tone and firm-level stock returns
inferred← citeshttps://doi.org/10.1016/j.jebo.2020.03.002openalex-snapshot
Social Media, News Media and the Stock Market
inferred← citeshttps://doi.org/10.1016/j.jebo.2022.02.013openalex-snapshot
LGBT policy, investor trading behavior, and return comovement
inferred← citeshttps://doi.org/10.1016/j.jeconbus.2012.09.002openalex-snapshot
What Does the Sec Choose to Investigate?
inferred← citeshttps://doi.org/10.1016/j.jedc.2014.05.009openalex-snapshot
Speculative behavior and the dynamics of interacting stock markets
inferred← citeshttps://doi.org/10.1016/j.jedc.2021.104191openalex-snapshot
Media connection and return comovement
inferred← citeshttps://doi.org/10.1016/j.jempfin.2006.12.004openalex-snapshot
The factor structure of time-varying conditional volume
inferred← citeshttps://doi.org/10.1016/j.jempfin.2007.12.002openalex-snapshot
Liquidity and conditional portfolio choice: A nonparametric investigation
inferred← citeshttps://doi.org/10.1016/j.jempfin.2011.05.010openalex-snapshot
Stock market trading activity and returns around milestones
inferred← citeshttps://doi.org/10.1016/j.jempfin.2021.10.003openalex-snapshot
Housing market spillovers through the lens of transaction volume: A new spillover index approach
inferred← citeshttps://doi.org/10.1016/j.jempfin.2023.101429openalex-snapshot
Co-illiquidity management
inferred← citeshttps://doi.org/10.1016/j.jet.2012.01.020openalex-snapshot
Forecasting the forecasts of others: Implications for asset pricing
inferred← citeshttps://doi.org/10.1016/j.jfi.2003.09.005openalex-snapshot
International trade-venue clienteles and order-flow competitiveness
inferred← citeshttps://doi.org/10.1016/j.jfi.2016.08.001openalex-snapshot
Evaluating the information in the federal reserve stress tests
inferred← citeshttps://doi.org/10.1016/j.jfineco.2004.03.007openalex-snapshot
Short- and long-term demand curves for stocks: theory and evidence on the dynamics of arbitrage
inferred← citeshttps://doi.org/10.1016/j.jfineco.2004.10.005openalex-snapshot
Market manipulation: A comprehensive study of stock pools
inferred← citeshttps://doi.org/10.1016/j.jfineco.2008.03.006openalex-snapshot
Caught on tape: Institutional trading, stock returns, and earnings announcements
inferred← citeshttps://doi.org/10.1016/j.jfineco.2011.12.008openalex-snapshot
Understanding commonality in liquidity around the world
inferred← citeshttps://doi.org/10.1016/j.jfineco.2011.12.010openalex-snapshot
Econometric measures of connectedness and systemic risk in the finance and insurance sectors
inferred← citeshttps://doi.org/10.1016/j.jfineco.2013.12.003openalex-snapshot
Money and liquidity in financial markets
inferred← citeshttps://doi.org/10.1016/j.jfineco.2018.09.012openalex-snapshot
Preference for Dividends and Return Comovement
inferred← citeshttps://doi.org/10.1016/j.jfineco.2018.12.004openalex-snapshot
Do firms issue more equity when markets become more liquid?
inferred← citeshttps://doi.org/10.1016/j.jfineco.2019.08.005openalex-snapshot
A comparison of some structural models of private information arrival
inferred← citeshttps://doi.org/10.1016/j.jfineco.2019.11.002openalex-snapshot
Investor experiences and financial market dynamics
inferred← citeshttps://doi.org/10.1016/j.jfineco.2026.104382openalex-snapshot
Heterogeneous beliefs, asset prices, and business cycles
inferred← citeshttps://doi.org/10.1016/j.jfs.2014.08.003openalex-snapshot
The impact of the French Tobin tax
inferred← citeshttps://doi.org/10.1016/j.jmoneco.2005.04.006openalex-snapshot
Capital reallocation and liquidity
inferred← citeshttps://doi.org/10.1016/j.mulfin.2012.03.001openalex-snapshot
Stock price synchronicities and speculative trading in emerging markets
inferred← citeshttps://doi.org/10.1016/j.mulfin.2016.03.002openalex-snapshot
The informative role of trading volume in an expanding spot and futures market
inferred← citeshttps://doi.org/10.1016/j.mulfin.2019.100591openalex-snapshot
Foreign investors’ trading behavior and market conditions: Evidence from Taiwan
inferred← citeshttps://doi.org/10.1016/j.najef.2018.01.004openalex-snapshot
Switches in price discovery: Are U.S. traders more qualified in making valuations?
inferred← citeshttps://doi.org/10.1016/j.pacfin.2005.09.001openalex-snapshot
Idiosyncratic volatility, fundamentals, and institutional herding: Evidence from the Japanese stock market
inferred← citeshttps://doi.org/10.1016/j.pacfin.2011.12.005openalex-snapshot
Short-sale constraints: Reductions in costs of capital or overvaluation? Evidence from Hong Kong
inferred← citeshttps://doi.org/10.1016/j.pacfin.2016.12.001openalex-snapshot
Price limits and the value premium in the Taiwan stock market
inferred← citeshttps://doi.org/10.1016/j.pacfin.2018.04.005openalex-snapshot
The puzzling media effect in the Chinese stock market
inferred← citeshttps://doi.org/10.1016/j.pacfin.2020.101487openalex-snapshot
Turnover premia in China's stock markets
inferred← citeshttps://doi.org/10.1016/j.pacfin.2023.102033openalex-snapshot
Voting with their feet: Controlling shareholders' share pledging and other major shareholders' strategic response
inferred← citeshttps://doi.org/10.1016/j.physa.2015.10.078openalex-snapshot
Network analysis of returns and volume trading in stock markets: The Euro Stoxx case
inferred← citeshttps://doi.org/10.1016/j.physa.2016.06.105openalex-snapshot
Network of listed companies based on common shareholders and the prediction of market volatility
inferred← citeshttps://doi.org/10.1016/j.physa.2016.07.029openalex-snapshot
Comparing minimum spanning trees of the Italian stock market using returns and volumes
inferred← citeshttps://doi.org/10.1016/j.physa.2018.08.026openalex-snapshot
The impact of trading volume on the stock market credibility: Bohmian quantum potential approach
inferred← citeshttps://doi.org/10.1016/j.physa.2019.121386openalex-snapshot
Financial modelling applying multivariate Lévy processes: New insights into estimation and simulation
inferred← citeshttps://doi.org/10.1016/j.procs.2013.05.083openalex-snapshot
The Impact of Interest Rate on Information Flow Interpretation: Evidence from ChiNext
inferred← citeshttps://doi.org/10.1016/j.qref.2009.01.001openalex-snapshot
A dynamic CAPM with supply effect: Theory and empirical results
inferred← citeshttps://doi.org/10.1016/j.rfe.2008.10.003openalex-snapshot
Optimal financial education
inferred← citeshttps://doi.org/10.1016/j.ribaf.2010.11.001openalex-snapshot
Do regulatory policies affect the flow of information in emerging markets?
inferred← citeshttps://doi.org/10.1016/j.ribaf.2011.10.002openalex-snapshot
Return spread and liquidity: Evidence from Hong Kong ADRs
inferred← citeshttps://doi.org/10.1016/j.ribaf.2012.04.001openalex-snapshot
Order imbalance, market returns and macroeconomic news
inferred← citeshttps://doi.org/10.1016/j.ribaf.2016.03.008openalex-snapshot
Herding and excessive risk in the American stock market: A sectoral analysis
inferred← citeshttps://doi.org/10.1016/j.ribaf.2021.101404openalex-snapshot
Investor attention, firm-specific characteristic, and momentum: A case of the Korean stock market
inferred← citeshttps://doi.org/10.1016/j.ribaf.2023.101910openalex-snapshot
Return–Volume Nexus in Financial Markets: A Survey of Research
inferred← citeshttps://doi.org/10.1016/s0022-0531(02)00039-xopenalex-snapshot
Liquidity shocks and equilibrium liquidity premia
inferred← citeshttps://doi.org/10.1016/s0304-405x(00)00091-xopenalex-snapshot
Common factors in prices, order flows, and liquidity
inferred← citeshttps://doi.org/10.1016/s0304-405x(01)00055-1openalex-snapshot
The distribution of realized stock return volatility
inferred← citeshttps://doi.org/10.1016/s0304-405x(02)00136-8openalex-snapshot
Order imbalance, liquidity, and market returns
inferred← citeshttps://doi.org/10.1016/s0304-405x(03)00175-2openalex-snapshot
Order imbalance and individual stock returns: Theory and evidence
inferred← citeshttps://doi.org/10.1016/s0927-5398(02)00048-8openalex-snapshot
Trading activity and stock price volatility: evidence from the London Stock Exchange
inferred← citeshttps://doi.org/10.1016/s1042-9573(03)00041-xopenalex-snapshot
Commonality in liquidity: transmission of liquidity shocks across investors and securities
inferred← citeshttps://doi.org/10.1016/s1057-5219(03)00013-9openalex-snapshot
iShares Australia: a clinical study in international behavioral finance
inferred← citeshttps://doi.org/10.1016/s1569-3767(03)04017-2openalex-snapshot
INFORMATION, TRADING VOLUME AND INTERNATIONAL STOCK MARKET COMOVEMENTS
inferred← citeshttps://doi.org/10.1017/9781009381741openalex-snapshot
Recurrence Interval Analysis of Financial Time Series
inferred← citeshttps://doi.org/10.1017/asb.2017.2openalex-snapshot
RISK MANAGEMENT OF FINANCIAL CRISES: AN OPTIMAL INVESTMENT STRATEGY WITH MULTIVARIATE JUMP-DIFFUSION MODELS
inferred← citeshttps://doi.org/10.1017/s0022109000001733openalex-snapshot
Correlated Order Flow: Pervasiveness, Sources, and Pricing Effects
inferred← citeshttps://doi.org/10.1017/s0022109000001782openalex-snapshot
Stock Market Uncertainty and the Stock-Bond Return Relation
inferred← citeshttps://doi.org/10.1017/s0022109000003094openalex-snapshot
Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange
inferred← citeshttps://doi.org/10.1017/s0022109009990196openalex-snapshot
Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks
inferred← citeshttps://doi.org/10.1017/s0022109010000323openalex-snapshot
Stock Returns and the Volatility of Liquidity
inferred← citeshttps://doi.org/10.1017/s0022109011000044openalex-snapshot
The Global Rise of the Value-Weighted Portfolio
inferred← citeshttps://doi.org/10.1017/s0022109013000094openalex-snapshot
Volume Dynamics and Multimarket Trading
inferred← citeshttps://doi.org/10.1017/s0022109013000562openalex-snapshot
Analyst Coverage, Information, and Bubbles
inferred← citeshttps://doi.org/10.1017/s0022109014000106openalex-snapshot
Volume and Volatility in a Common-Factor Mixture of Distributions Model
inferred← citeshttps://doi.org/10.1017/s002210901600020xopenalex-snapshot
Gambling Preferences, Options Markets, and Volatility
inferred← citeshttps://doi.org/10.1017/s0022109023000145openalex-snapshot
Anomaly Discovery and Arbitrage Trading
inferred← citeshttps://doi.org/10.1057/jam.2015.13openalex-snapshot
An approach to improve mean-variance portfolio optimization model
inferred← citeshttps://doi.org/10.1057/s41260-020-00171-4openalex-snapshot
Noise-driven abnormal institutional investor attention
inferred← citeshttps://doi.org/10.1057/s41260-021-00207-3openalex-snapshot
Volume decomposition and volatility in dual-listing H-shares
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