{"id":40890446,"date":"2024-11-01T11:40:50","date_gmt":"2024-11-01T06:10:50","guid":{"rendered":"https:\/\/stockviz.biz\/index.php\/?p=40890446"},"modified":"2024-11-01T11:40:50","modified_gmt":"2024-11-01T06:10:50","slug":"the-high-volume-return-premium","status":"publish","type":"post","link":"https:\/\/stockviz.biz\/index.php\/2024\/11\/01\/the-high-volume-return-premium\/","title":{"rendered":"The High Volume Return Premium"},"content":{"rendered":"\n<p>Gervais, Simon, Ron Kaniel, and Dan H. Mingelgrin, 2001, \u201cThe high\u2010volume return premium,\u201d <em>The Journal of Finance<\/em>, unearthed a market anomaly quite similar to momentum where stocks that traded with a higher than average volume went on to give higher returns.<\/p>\n\n\n\n<p>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.<\/p>\n\n\n\n<figure class=\"wp-block-image size-large is-resized\"><img decoding=\"async\" src=\"https:\/\/github.com\/stockviz\/blog\/blob\/master\/high-volume-return-premium\/symRetsAll.png?raw=true\" alt=\"\" style=\"width:840px;height:auto\" \/><\/figure>\n\n\n\n<p>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&#8217;t really speak to the stability of the anomaly.<\/p>\n\n\n\n<p>We&#8217;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: <a href=\"https:\/\/github.com\/stockviz\/blog\/tree\/master\/high-volume-return-premium\">github<\/a>.<\/p>\n\n\n\n<p><\/p>\n","protected":false},"excerpt":{"rendered":"<p>Gervais, Simon, Ron Kaniel, and Dan H. Mingelgrin, 2001, \u201cThe high\u2010volume return premium,\u201d 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 &hellip; <\/p>\n","protected":false},"author":2,"featured_media":2106273,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[3471],"tags":[2761],"class_list":["post-40890446","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-investing-insight","tag-quant","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/40890446","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/comments?post=40890446"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/40890446\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media\/2106273"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=40890446"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/categories?post=40890446"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/tags?post=40890446"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}