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Psychological Factors, Stock Price Paths, and Trading Volume

"Examine the relation between the trading volume of a stock, expressed as a percentage of shares outstanding, and the past stock price trading range. Volume is strikingly higher, in both economical and statistical terms, when the current price is above (below) the previous fifty-two week high (low). Results are robust to a wide range of controls, including returns and news events. An event study shows that volume spikes in the week when price leaves the prior trading range, then gradually returns to normal levels. The results suggest that behavioral factors affect investors' trading decisions in equity markets."
Steven Huddart

  Download the Steven Huddart, Mark Lang, and Michelle Yetman original report - Psychological Factors, Stock Price Paths, and Trading Volume.














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