Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/247367 
Authors: 
Year of Publication: 
2020
Series/Report no.: 
IES Working Paper No. 45/2020
Publisher: 
Charles University in Prague, Institute of Economic Studies (IES), Prague
Abstract: 
I examine 468 estimates on the relationship between trading volume and stock returns reported in 44 studies. I deploy recent nonlinear techniques for detecting publication bias together with Bayesian and frequentist model averaging to evaluate the heterogeneity in the estimates. The results yield three key conclusions. First, publication bias distorts the findings of the primary studies. After this bias is corrected, the literature shows that with higher trading volume, returns decline in both effects in the contemporaneous and even in the dynamic one. Second, one cannot rely on any general conclusions about stock markets. The predictability of stock returns varies with different markets and stock types. Third, different data characteristics, structural variations and methodologies used drive the heterogeneity in the results of the primary articles. In particular, one should be cautious when using monthly data or VAR models.
Subjects: 
Stock returns
trading volume
meta-analysis
Bayesian model averaging
publication bias
JEL: 
G10
G12
G14
Document Type: 
Working Paper

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