Abstract
This work studies long-horizon return predictability of volume growth realizations. High-mean volume growth is argued to reduce estimation risk and high volatility and skewness are interpreted as factors which increase estimation risk. It is found that stocks with high-mean trading volume growth during the past 12 months experience strong positive excess returns that do not reverse themselves over the next 5-years. Stocks with high volatility and skewness of excess turnover growth have negative future risk-adjusted returns which are economically significant. The conclusion is that increases in trading volume growth are predictive of future returns.
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