The Cross-Section of Expected Trading Activity
This paper studies cross-sectional variations in trading activity for a comprehensive sample of NYSE/AMEX and Nasdaq stocks over a period of about 40 years. We test whether trading activity depends upon the degree of liquidity trading, the mass of informed traders, and the extent of uncertainty and dispersion of opinion about fundamental values. We hypothesize that liquidity (or noise) trading depends both on a stocks visibility and on portfolio rebalancing needs triggered by past price performance. We use .rm size, age, price and the book-to-market ratio as proxies for a firms visibility. The mass of informed agents is proxied by the number of analysts, while forecast dispersion and firm leverage proxy for di.erences of opinion. Earnings volatility and absolute earnings surprises proxy for uncertainty about fundamental values. Overall, the results provide support for theories of trading based on stock visibility, portfolio rebalancing needs, differences of opinion and uncertainty about fundamental values.
Tarun Chordia Sahn-Wook Huh Avanidhar Subrahmanyam
Goizueta Business School, Emory University, Atlanta, GA 30327. Faculty of Business, Brock University, St. Catharines, Ontario, Canada L2S 3A1. The Anderson School, 110 Westwood Plaza, University of California at Los Angeles,Los Angeles, CA 900
国际会议
西安
英文
2006-07-17（万方平台首次上网日期，不代表论文的发表时间）