The high-volume return premium

The idea that extreme trading activity contains information about the futur e evolution of stock prices is investigated. We find that stocks experienci ng unusually high (low) trading volume over a day or a week tend to appreci ate (depreciate) over the course of the following month. We argue that this high-volume return premium is consistent with the idea that shocks in the trading activity of a stock affect its visibility, and in turn the subseque nt demand and price for that stock. Return autocorrelations, firm announcem ents, market risk, and liquidity do not seem to explain our results.