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ON IMPROVING THE PERFORMANCE OF THE MARKET MODEL
Author(s) -
Robin Ashok J.
Publication year - 1993
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/j.1475-6803.1993.tb00154.x
Subject(s) - volume (thermodynamics) , relation (database) , econometrics , economics , financial economics , business , statistics , mathematics , computer science , data mining , physics , thermodynamics
Data on 4,087 securities from 1988 to 1990 are used to test the relation between market model R 2 and trading volume. Eliminating high‐volume observations increases R 2 by about 10 percent, confirming results previously reported. This study indicates that this improvement is possible by eliminating a small number of observations. It also indicates that this relation between R 2 and volume is unrelated to firm size.