استراتژی‌های پرتفوی مبتنی بر حجم: تحلیل رابطه بین فعالیت‌های معاملاتی و بازده‌های مورد انتظار در مقطع سهام سوئیس

Alexander Brändle investigates the relationship between different measures of trading volume and returns in the Swiss stock market. He discovers that stocks with unusual trading volume in a given month experience systematically higher subsequent returns. This abnormal volume effect is particularly strong in uncertain market situations including the 2008 downturn. 1 Introduction In this introductory chapter, we first introduce the topic of this project and its relevance to research and practice. After the statement of the main objectives, we formulate its research questions and contributions. Following some important definitions, we c- clude this introduction by outlining the structure of this project report. 1. 1 Motivation For a long time, the predominant view in finance was that the variation of returns across stocks could be explained by their sensitivities (i. e. , betas) to a single factor, the excess return of the market portfolio. This classical view, reflected in the Capital Asset Pricing Model (CAPM), implies that no portfolio strategy selecting stocks on the basis of other factors is able to consistently outperform a passive ‘buy and hold’ strategy (reflecting the market capitalization-weighted investment universe). Later research, however, found that other factors also play an important role in the cross-sectional variation of stock returns. Especially observed stock attributes such as past returns, market capitalization, or book-to-market ratio, were found to have a high explanatory power. Subsequent - search even proved the existence of profitable portfolio strategies formed on the basis of such stock attributes, which led to their practical implementation and offering by prof- sional investment firms. These quantitative strategies have since become increasingly popular, especially as a means to diversify investments (which is particularly helpful in case of a low correlation between a strategy’s return and the development of the m- ket). Front Matter....Pages I-XXVII Introduction....Pages 1-5 Review of Studies on the Relationship between Trading Volume and Stock Returns....Pages 6-46 Data and Methodology....Pages 47-97 Results: Trading Volume and the Cross-Sectional Variation of Stock Returns....Pages 98-188 Results: Time-Stability of Portfolio Returns....Pages 189-220 Results: Economic Significance of Volume-Return Relations....Pages 221-277 Summary and Conclusions....Pages 278-287 Back Matter....Pages 289-320 Annotation :Alexander Brändle investigates the relationship between different measures of trading volume and returns in the Swiss stock market. He discovers that stocks with unusual trading volume in a given month experience systematically higher subsequent returns. This abnormal volume effect is particularly strong in uncertain market situations including the 2008 downturn Alexander Brandle investigates the relationship between different measures of trading volume and returns in the Swiss stock market. He discovers that stocks with unusual trading volume in a given month experience systematically higher subsequent returns.