THE HIGH-VOLUME RETURN PREMIUM: EVIDENCE FROM THE FINNISH STOCK MARKET

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dc.contributor.authorGijzen, Menno
dc.contributor.facultyfi=Kauppatieteellinen tiedekunta|en=Faculty of Business Studies|
dc.contributor.organizationVaasan yliopisto
dc.date.accessioned2017-03-20
dc.date.accessioned2018-04-30T13:51:40Z
dc.date.accessioned2025-06-25T16:26:18Z
dc.date.available2017-04-26
dc.date.available2018-04-30T13:51:40Z
dc.date.issued2017
dc.description.abstractThis thesis tests whether the high-volume return premium is present in the Finnish stock market during a time horizon from April 1994 to May 2016. It provides a theoretical insight into the importance of trading volume, and how it may be used to predict future price movements of stocks. The thesis is thus testing whether the weak-form of the efficient market hypothesis holds in the Finnish stock market. Stocks are classified as high (low) volume based on their previous 49 days trading volume, and placed in long (short) portfolios, which are then held for up to 100 days without rebalancing. Stocks are then classified as small, medium, and large sized firms based on end year market capitalization. The results show weak evidence to support the existence of the high-volume return premium based on daily data. Weekly data does show significant returns for medium and large sized firms. This is not due to return autocorrelations or extreme values. However, it does turn out that the returns are purely driven by shifts in systematic risk.
dc.description.notificationfi=Opinnäytetyö kokotekstinä PDF-muodossa.|en=Thesis fulltext in PDF format.|sv=Lärdomsprov tillgängligt som fulltext i PDF-format|
dc.format.bitstreamtrue
dc.format.extent56
dc.identifier.olddbid6720
dc.identifier.oldhandle10024/6672
dc.identifier.urihttps://osuva.uwasa.fi/handle/11111/9355
dc.language.isoeng
dc.rightsCC BY-NC-ND 4.0
dc.source.identifierhttps://osuva.uwasa.fi/handle/10024/6672
dc.subjectHigh-volume return premium
dc.subjectTrading volume.
dc.subject.degreeprogrammefi=Master's Degree Programme in Finance|
dc.subject.studyfi=Laskentatoimi ja rahoitus|en=Accounting and Finance|
dc.titleTHE HIGH-VOLUME RETURN PREMIUM: EVIDENCE FROM THE FINNISH STOCK MARKET
dc.type.ontasotfi=Pro gradu - tutkielma |en=Master's thesis|sv=Pro gradu -avhandling|

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