Dynamic Volume-Return Relation of Individual Stocks

Guillermo Llorente; Roni Michaely; Gideon Saar; Jiang Wang

The Review of Financial Studies, Vol. 15, No. 4. (Autumn, 2002), pp. 1005-1047.

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Dynamic Volume-Return Relation of Individual StocksGuillermo Llorente; Roni Michaely; Gideon Saar; Jiang WangThe Review of Financial Studies, Vol. 15, No. 4. (Autumn, 2002), pp. 1005-1047.Stable URL:

http://links.jstor.org/sici?sici=0893-9454%28200223%2915%3A4%3C1005%3ADVROIS%3E2.0.CO%3B2-Z

This article references the following linked citations. If you are trying to access articles from anoff-campus location, you may be required to first logon via your library web site to access JSTOR. Pleasevisit your library's website or contact a librarian to learn about options for remote access to JSTOR.

[Footnotes]

1 Price Momentum and Trading VolumeCharles M. C. Lee; Bhaskaran SwaminathanThe Journal of Finance, Vol. 55, No. 5. (Oct., 2000), pp. 2017-2069.Stable URL:

http://links.jstor.org/sici?sici=0022-1082%28200010%2955%3A5%3C2017%3APMATV%3E2.0.CO%3B2-M

2 Continuous Auctions and Insider TradingAlbert S. KyleEconometrica, Vol. 53, No. 6. (Nov., 1985), pp. 1315-1335.Stable URL:

http://links.jstor.org/sici?sici=0012-9682%28198511%2953%3A6%3C1315%3ACAAIT%3E2.0.CO%3B2-8

4 Insiders, Outsiders, and Market BreakdownsUtpal Bhattacharya; Matthew SpiegelThe Review of Financial Studies, Vol. 4, No. 2. (1991), pp. 255-282.Stable URL:

http://links.jstor.org/sici?sici=0893-9454%281991%294%3A2%3C255%3AIOAMB%3E2.0.CO%3B2-H

4 A Model of Competitive Stock Trading VolumeJiang WangThe Journal of Political Economy, Vol. 102, No. 1. (Feb., 1994), pp. 127-168.Stable URL:

http://links.jstor.org/sici?sici=0022-3808%28199402%29102%3A1%3C127%3AAMOCST%3E2.0.CO%3B2-S

http://www.jstor.org

LINKED CITATIONS- Page 1 of 8 -

NOTE: The reference numbering from the original has been maintained in this citation list.

7 Trading and Returns under Periodic Market ClosuresHarrison Hong; Jiang WangThe Journal of Finance, Vol. 55, No. 1. (Feb., 2000), pp. 297-354.Stable URL:

http://links.jstor.org/sici?sici=0022-1082%28200002%2955%3A1%3C297%3ATARUPM%3E2.0.CO%3B2-U

10 On Technical AnalysisDavid P. Brown; Robert H. JenningsThe Review of Financial Studies, Vol. 2, No. 4. (1989), pp. 527-551.Stable URL:

http://links.jstor.org/sici?sici=0893-9454%281989%292%3A4%3C527%3AOTA%3E2.0.CO%3B2-E

10 Trade and the Revelation of Information through Prices and Direct DisclosureBruce D. Grundy; Maureen McNicholsThe Review of Financial Studies, Vol. 2, No. 4. (1989), pp. 495-526.Stable URL:

http://links.jstor.org/sici?sici=0893-9454%281989%292%3A4%3C495%3ATATROI%3E2.0.CO%3B2-S

10 A Model of Competitive Stock Trading VolumeJiang WangThe Journal of Political Economy, Vol. 102, No. 1. (Feb., 1994), pp. 127-168.Stable URL:

http://links.jstor.org/sici?sici=0022-3808%28199402%29102%3A1%3C127%3AAMOCST%3E2.0.CO%3B2-S

10 Differential Information and Dynamic Behavior of Stock Trading VolumeHua He; Jiang WangThe Review of Financial Studies, Vol. 8, No. 4. (Winter, 1995), pp. 919-972.Stable URL:

http://links.jstor.org/sici?sici=0893-9454%28199524%298%3A4%3C919%3ADIADBO%3E2.0.CO%3B2-2

13 Volume and Autocovariances in Short-Horizon Individual Security ReturnsJennifer S. Conrad; Allaudeen Hameed; Cathy NidenThe Journal of Finance, Vol. 49, No. 4. (Sep., 1994), pp. 1305-1329.Stable URL:

http://links.jstor.org/sici?sici=0022-1082%28199409%2949%3A4%3C1305%3AVAAISI%3E2.0.CO%3B2-O

http://www.jstor.org

LINKED CITATIONS- Page 2 of 8 -

NOTE: The reference numbering from the original has been maintained in this citation list.

13 Price Momentum and Trading VolumeCharles M. C. Lee; Bhaskaran SwaminathanThe Journal of Finance, Vol. 55, No. 5. (Oct., 2000), pp. 2017-2069.Stable URL:

http://links.jstor.org/sici?sici=0022-1082%28200010%2955%3A5%3C2017%3APMATV%3E2.0.CO%3B2-M

14 Trading Volume: Definitions, Data Analysis, and Implications of Portfolio TheoryAndrew W. Lo; Jiang WangThe Review of Financial Studies, Vol. 13, No. 2. (Summer, 2000), pp. 257-300.Stable URL:

http://links.jstor.org/sici?sici=0893-9454%28200022%2913%3A2%3C257%3ATVDDAA%3E2.0.CO%3B2-E

17 A Note on a Random Coefficients ModelTakeshi AmemiyaInternational Economic Review, Vol. 19, No. 3. (Oct., 1978), pp. 793-796.Stable URL:

http://links.jstor.org/sici?sici=0020-6598%28197810%2919%3A3%3C793%3AANOARC%3E2.0.CO%3B2-V

17 A Note on a Random Coefficients ModelTakeshi AmemiyaInternational Economic Review, Vol. 19, No. 3. (Oct., 1978), pp. 793-796.Stable URL:

http://links.jstor.org/sici?sici=0020-6598%28197810%2919%3A3%3C793%3AANOARC%3E2.0.CO%3B2-V

26 A Subordinated Stochastic Process Model with Finite Variance for Speculative PricesPeter K. ClarkEconometrica, Vol. 41, No. 1. (Jan., 1973), pp. 135-155.Stable URL:

http://links.jstor.org/sici?sici=0012-9682%28197301%2941%3A1%3C135%3AASSPMW%3E2.0.CO%3B2-G

26 Heteroskedasticity in Stock Return Data: Volume versus GARCH EffectsChristopher G. Lamoureux; William D. LastrapesThe Journal of Finance, Vol. 45, No. 1. (Mar., 1990), pp. 221-229.Stable URL:

http://links.jstor.org/sici?sici=0022-1082%28199003%2945%3A1%3C221%3AHISRDV%3E2.0.CO%3B2-3

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30 Time-Variation in Expected ReturnsJennifer Conrad; Gautam KaulThe Journal of Business, Vol. 61, No. 4. (Oct., 1988), pp. 409-425.Stable URL:

http://links.jstor.org/sici?sici=0021-9398%28198810%2961%3A4%3C409%3ATIER%3E2.0.CO%3B2-H

References

A Note on a Random Coefficients ModelTakeshi AmemiyaInternational Economic Review, Vol. 19, No. 3. (Oct., 1978), pp. 793-796.Stable URL:

http://links.jstor.org/sici?sici=0020-6598%28197810%2919%3A3%3C793%3AANOARC%3E2.0.CO%3B2-V

Insiders, Outsiders, and Market BreakdownsUtpal Bhattacharya; Matthew SpiegelThe Review of Financial Studies, Vol. 4, No. 2. (1991), pp. 255-282.Stable URL:

http://links.jstor.org/sici?sici=0893-9454%281991%294%3A2%3C255%3AIOAMB%3E2.0.CO%3B2-H

Market Statistics and Technical Analysis: The Role of VolumeLawrence Blume; David Easley; Maureen O'HaraThe Journal of Finance, Vol. 49, No. 1. (Mar., 1994), pp. 153-181.Stable URL:

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On Technical AnalysisDavid P. Brown; Robert H. JenningsThe Review of Financial Studies, Vol. 2, No. 4. (1989), pp. 527-551.Stable URL:

http://links.jstor.org/sici?sici=0893-9454%281989%292%3A4%3C527%3AOTA%3E2.0.CO%3B2-E

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Trading Volume and Serial Correlation in Stock ReturnsJohn Y. Campbell; Sanford J. Grossman; Jiang WangThe Quarterly Journal of Economics, Vol. 108, No. 4. (Nov., 1993), pp. 905-939.Stable URL:

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Caveat Compounder: A Warning about Using the Daily CRSP Equal-Weighted Index toCompute Long-Run Excess ReturnsLinda Canina; Roni Michaely; Richard Thaler; Kent WomackThe Journal of Finance, Vol. 53, No. 1. (Feb., 1998), pp. 403-416.Stable URL:

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A Subordinated Stochastic Process Model with Finite Variance for Speculative PricesPeter K. ClarkEconometrica, Vol. 41, No. 1. (Jan., 1973), pp. 135-155.Stable URL:

http://links.jstor.org/sici?sici=0012-9682%28197301%2941%3A1%3C135%3AASSPMW%3E2.0.CO%3B2-G

Time-Variation in Expected ReturnsJennifer Conrad; Gautam KaulThe Journal of Business, Vol. 61, No. 4. (Oct., 1988), pp. 409-425.Stable URL:

http://links.jstor.org/sici?sici=0021-9398%28198810%2961%3A4%3C409%3ATIER%3E2.0.CO%3B2-H

Volume and Autocovariances in Short-Horizon Individual Security ReturnsJennifer S. Conrad; Allaudeen Hameed; Cathy NidenThe Journal of Finance, Vol. 49, No. 4. (Sep., 1994), pp. 1305-1329.Stable URL:

http://links.jstor.org/sici?sici=0022-1082%28199409%2949%3A4%3C1305%3AVAAISI%3E2.0.CO%3B2-O

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Differential Information and Dynamic Behavior of Stock Trading VolumeHua He; Jiang WangThe Review of Financial Studies, Vol. 8, No. 4. (Winter, 1995), pp. 919-972.Stable URL:

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Trading and Returns under Periodic Market ClosuresHarrison Hong; Jiang WangThe Journal of Finance, Vol. 55, No. 1. (Feb., 2000), pp. 297-354.Stable URL:

http://links.jstor.org/sici?sici=0022-1082%28200002%2955%3A1%3C297%3ATARUPM%3E2.0.CO%3B2-U

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Price Momentum and Trading VolumeCharles M. C. Lee; Bhaskaran SwaminathanThe Journal of Finance, Vol. 55, No. 5. (Oct., 2000), pp. 2017-2069.Stable URL:

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A Model of Competitive Stock Trading VolumeJiang WangThe Journal of Political Economy, Vol. 102, No. 1. (Feb., 1994), pp. 127-168.Stable URL:

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