Real-World & Alternative DataCore researchlive in productionNew

healthy volume pattern

Updated dailyData needs: lowlong onlyshort onlylong short

2001

Gervais, S., Kaniel, R. & Mingelgrin, D. H. (2001). The High-Volume Return Premium. Journal of Finance, 56(3), 877-919.

In plain terms

When a stock suddenly trades much more heavily than usual, more investors notice it and the price tends to rise over the next few weeks.

How it works

A stock whose most recent day or week of trading volume is unusually high relative to its own recent history becomes more salient (a Merton-style recognition shock), drawing incremental demand that lifts price over the next ~20 days; abnormally low volume fades the stock from attention and underperforms. Each bar's reference-period volume is ranked within its trailing 49-day own-volume distribution.

Live results

571 times picked on its own · 864 times inside a blend (787 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 864 such blended picks (787 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

Loading substrate evidence…

Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.

Expected edge

High relative volume predicts positive returns over the following ~20 days; low relative volume predicts underperformance.

Related families

Breakout VolumePrice & Market Behavior

A 20-day high breakout is taken only when volume is unusually large and true-range is expanding — confirming it's a real move, not a head-fake.

Amihud IlliquidityPrice & Market Behavior

Measures how much the price moves per dollar traded. Stocks costly to exit must pay investors more — long the illiquid names for the premium.

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