Finance and Financial Management Commons^™

The Trading Volume Trend, Investor Sentiment, And Stock Returns, Yung-Chou Lei

LSU Doctoral Dissertations

This dissertation relates the information contained in past trading volume to investor sentiment, and investigates its ability in predicting stock returns. Investor sentiment here refers to the enthusiasm of irrational investors on an asset, relative to that of rational investors. Motivated by Baker and Stein (2004) that an increase in trading volume reflects a rise in investor sentiment, I use the change in trading volume per unit of time, referring it as the trading volume trend, as a measure of investor sentiment on individual stocks. I document a negative and significant cross-sectional relation between the trading volume trend and stock …