Gervais, S.; Kaniel, R.; Mingelgrin, D. - Rodney L. White Center for Financial Research, Wharton … - 1999
The idea that extreme trading activity (as measured by trading volume) contains information about the future evolution of stock prices is investigated. We find that stocks experiencing unusually high (low) trading volume over a period of one day to a week tend to appreciate (depreciate) over the...