Abstract
Lee and Swaminathan (2000) document that past trading volume predicts both the magnitude and persistence of price momentum for US stocks. This paper investigates the robustness of trading volume in predicting the magnitude and persistence of price momentum for stocks listed in 37 countries. For volume-based momentum we determine whether cultural differences influence the returns of the strategies. Our findings show that past trading volume forecasts the level and the persistence of momentum profits and is useful in explaining the short-term under-reaction and long-term over-reaction effects. We also show that early stage volume/momentum is superior to late stage volume/momentum and pure momentum. Finally, we show that the difference in profitability between the early and late stage strategies is negatively related to individualism.
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