Volume Based Portfolio Strategies

Volume Based Portfolio Strategies

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Alexander BrAcndle 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.Analysis of the Relationship between Trading Activity and Expected Returns in the Cross-Section of Swiss Stock ... to consistently outperform a passive a#39;buy and holda#39; strategy (reflecting the market capitalization-weighted investment universe).

Title:Volume Based Portfolio Strategies
Author:Alexander Brändle
Publisher:Springer Science & Business Media - 2010-06-28


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