Llorente, Guillermo; Michaely, Roni; Saar, Gideon; … - In: Review of Financial Studies 15 (2002) 4, pp. 1005-1047
We examine the dynamic relation between return and volume of individual stocks. Using a simple model in which investors trade to share risk or speculate on private information, we show that returns generated by risk-sharing trades tend to reverse themselves, while returns generated by...