The Relation Between Common Stock Returns Trading Activity and Market Value

  • Author(s): CHRISTOPHER JAMES, ROBERT O. EDMISTER
  • Published: Apr 30, 2012
  • Pages: 1075-1086
  • DOI: 10.1111/j.1540-6261.1983.tb02283.x

ABSTRACT

This study examines the relation between common stock returns, trading activity and market value. Our results indicate that although firm size and trading activity are highly correlated, differences in trading activity are not the underlying reason for the firm size anomaly, the finding of systematic differences in risk adjusted returns across stocks of firms of different size.

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