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Trading volume and serial correlation in stock returns

Campbell, John Y. - In: The quarterly journal of economics 108 (1993) 4, pp. 905-939

Persistent link: https://www.econbiz.de/10001151036

Equilibrium analysis of portfolio insurance

Grossman, Sanford J. - In: The journal of finance : the journal of the American … 51 (1996) 4, pp. 1379-1403

Persistent link: https://www.econbiz.de/10001209029

The informational role of upstairs and downstairs trading

Grossman, Sanford J. - In: The journal of business : B 65 (1992) 4, pp. 509-528

Persistent link: https://www.econbiz.de/10001132976

Customer protection in futures and securities markets

Fischel, Daniel R. - In: The journal of futures markets 4 (1984) 3, pp. 273-295

Persistent link: https://www.econbiz.de/10001082856

Trading volume and serial correlation in stock returns

Campbell, John Y.; Grossman, Sanford J.; Wang, Jiang - 1992

Persistent link: https://www.econbiz.de/10000136788

The determinants of the variability of stock market prices

Grossman, Sanford J.; Shiller, Robert J. - 1980

Persistent link: https://www.econbiz.de/10009573119

The informational role of prices

Grossman, Sanford J. - 1989

Persistent link: https://www.econbiz.de/10011519392

Trading Volume and Serial Correlation in Stock Returns

Campbell, John Y. - 2012

This paper investigates the relationship between stock market trading volume and the autocorrelations of daily stock index returns. The paper finds that stock return autocorrelations tend to decline with trading volume. The paper explains this phenomenon using a model in which risk-averse...

Persistent link: https://www.econbiz.de/10012755947

The determinants of the variability of stock market prices

Grossman, Sanford J.; Shiller, Robert J. - In: The American economic review 71 (1981) 2, pp. 222-227

Persistent link: https://www.econbiz.de/10002531918