Gervais, Simon, Ron Kaniel, and Dan H. Mingelgrin, 2001, “The high‐volume return premium,” The Journal of Finance, unearthed a market anomaly quite similar to momentum where stocks that traded with a higher than average volume went on to give higher returns.
We did a quick test on the top 200 stocks by free-float market cap on the NSE between 2014 and 2024 to check if it makes sense to pursue this further.
A long-only strategy that rebalanced once a month with a 50-day reference period underperformed the NIFTY 100 TR index by a wide margin until the August of 2023. Nine years of underperformance vs. a year of parabolic liftoff doesn’t really speak to the stability of the anomaly.
We’ll look for further publications in this area and report back. In the meantime, you can read the paper and have a look at our code here: github.