Trading volume and dispersion of signals
Guide(s)
Basu, Sankarshan
Department
Finance and Accounting
Area
Finance and Accounting
University
Indian Institute of Management Bangalore
Place
Bangalore
Publication Date
3-31-2022
Year Awarded
March 2022
Year Completed
March 2022
Year Registered
June 2016
Abstract
I propose a new measure of investor disagreement based on thirty-nine factors from the returnpredicting anomaly literature. Consistent with theoretical work on volume, I show that a one standard deviation change in anomaly-based disagreement is associated with a 16.7% higher turnover in the next period. The positive and significant relationship is robust to different specifications, alternative measures of turnover and disagreement, and different periods. I document that a firm’s information environment moderates the effect of disagreement on volume. Disagreement effects are stronger for firms with less public information and more complex information releases. Anomaly-based disagreement also explains analyst behavior — it is positively related to their forecast dispersion and absolute forecast errors in earnings and target prices.
Pagination
94p.
Copyright
Indian Institute of Management Bangalore
Document Type
Dissertation
DAC Chairperson
Basu, Sankarshan
DAC Members
Rangan, Srinivasan; Anand, Abhinav
Type of Degree
Ph.D.
Recommended Citation
Vidhani, Nikhil, "Trading volume and dispersion of signals" (2022). Doctoral Dissertations. 49.
https://research.iimb.ac.in/doc_dissertations/49
Relation
DIS-IIMB-FPM-P22-11
