Contrarian and Momentum Profits During Periods of High Trading Volume Preceded by Stock Prices Shocks

This paper approaches the opportunities for contrarian and momentum profits during the periods of high trading volume preceded by stock prices shocks. We investigate these aspects for ten stocks from New York Stock Exchange. We found that more than three quarters of the periods of high trading volume were preceded by shocks which occurred less than six working days before. The values of the average excess returns for these periods suggest that opportunities for momentum profits prevailed over those for contrarian profits

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Year of publication:	2016
Authors:	Stefanescu, Razvan
Other Persons:	Dumitriu, Ramona (contributor)
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Börsenkurs \| Share price \| Kapitaleinkommen \| Capital income \| Handelsvolumen der Börse \| Trading volume \| Wertpapierhandel \| Securities trading \| Schock \| Shock \| Portfolio-Management \| Portfolio selection

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