@article{97ccd6a8bb0942378947f08a35fd820a,
title = "Volume and volatility in a common-factor mixture of distributions model",
abstract = "This paper develops a multi-asset mixture distribution hypothesis model to investigate commonality in stock returns and trading volume. The model makes two main predictions: First, the factor structures of returns and trading volume are independent although they stem from the same valuation fundamentals and jointly depend on a latent information flow; second, cross-sectional positive volatility-volume relations arise solely from the dynamic features of the information flow. Empirical analyses at the market level support these predictions. Furthermore, the results indicate that removing the information flow significantly reduces the return volatility persistence and the extent of the reduction exhibits a size pattern.",
author = "Xiaojun He and Raja Velu",
note = "Funding Information: This paper is partially drawn from He{\textquoteright}s dissertation. He is grateful to Chihwa Kao, Kasing Man, Chunchi Wu, and especially Philip Griffin, her dissertation committee chair, for their helpful comments. We benefited from the constructive comments of an anonymous referee, Hendrik Bessembinder (the editor), participants at the 2004 American Finance Association (AFA) and 2004 Financial Management Association (FMA), and especially Tom Smith. He is also grateful for the generous financial support provided by the Brethren Operations Management Institute, IBM Research Fund, Entrepreneurship and Emerging Enterprises Research Fund, and Snyder Innovation Management Center of Whitman School of Management at Syracuse University. All errors are our own responsibility. 21 02 2014 02 2014 49 1 33 49 Copyright {\textcopyright} Michael G. Foster School of Business, University of Washington 2014 2014 Michael G. Foster School of Business, University of Washington ",
year = "2014",
month = feb,
doi = "10.1017/S0022109014000106",
language = "English (US)",
volume = "49",
pages = "33--49",
journal = "Journal of Financial and Quantitative Analysis",
issn = "0022-1090",
publisher = "Cambridge University Press",
number = "1",
}