Volume of transaction plays two roles in a market, first, it is related to liquidity of assets; second, it affects information cost in the price discovery process. The former results in a liquidity premium on price, which is a first moment effect of hedonic price; the latter produces price...

The positive volume‐price (return) relationship has been intensively studied and confirmed in both financial and real estate markets, yet their theoretic models offered few direct empirical support. This paper puts forward a liquidity premium model which explains the volume‐price (return)...