Szczegóły publikacji
Opis bibliograficzny
High-volume return premium on the Warsaw Stock Exchange: evidence, drivers, and strategy design / Olga Sieradzan, Tomasz WÓJTOWICZ // Managerial Economics = Ekonomia Menedżerska ; ISSN 1898-1143 . — 2025 — vol. 26 no. 2, s. 265–290. — Bibliogr. s. 288–290, Summ. — Publikacja dostępna online od: 2025-12-08
Autorzy (2)
Słowa kluczowe
Dane bibliometryczne
| ID BaDAP | 167963 |
|---|---|
| Data dodania do BaDAP | 2026-06-03 |
| Tekst źródłowy | URL |
| DOI | 10.7494/manage.2025.26.2.265 |
| Rok publikacji | 2025 |
| Typ publikacji | artykuł w czasopiśmie |
| Otwarty dostęp |  |
| Creative Commons | |
| Czasopismo/seria | Ekonomia Menedżerska = Managerial Economics |
Abstract
This paper investigates the High-Volume Return Premium (HVRP) on the Warsaw Stock Exchange from 2002 to 2023. Building on prior research, it tests whether an unusually high trading volume predicts short-term return anomalies. Using daily data and long-only strategies based on relative trading volume, the study confirms the existence of the HVRP, with the strongest effects observed over one-day horizons, particularly for mid-cap and low-priced stocks. The premium weakens with longer holding periods and lower trading activity. These findings indicate that trading volume carries predictive information in an emerging market context and that volume-based signals can generate exploitable short-term return patterns. However, practical constraints such as transaction costs may limit the real-world profitability of such strategies.
