Volume Based Portfolio Strategies

Alexander Brändle investigates the relationship between different measures of trading volume and returns in the Swiss stock market. He discovers that stocks with unusual trading volume in a given month experience systematically higher subsequent returns. This abnormal volume effect is particularly strong in uncertain market situations including the 2008 downturn.

Autorentext
Dr. Alexander Brändle wrote his dissertation under the supervision of Prof. Dr. Pascal Gantenbein at the Swiss Institute of Banking and Finance, University of St. Gallen (Switzerland). He works as a management consultant, focusing mainly on financial services firms.

Inhalt
Review of Studies on the Relationship between Trading Volume and Stock Returns.- Data and Methodology.- Results: Trading Volume and the Cross-Sectional Variation of Stock Returns.- Results: Time-Stability of Portfolio Returns.- Results: Economic Significance of Volume-Return Relations.- Summary and Conclusions.