We find no evidence of monthly return reversals for the top quintile of small- and large-cap stocks ranked by turnover. Indeed, stocks in the top decile of turnover display short-term momentum. We argue that these findings arise from a combination of effects. First, short-term reversals stem from short-term liquidity demands. Second, news-driven returns tend to continue rather than reverse. Third, turnover acts as a proxy for both liquidity and news-driven trading activity. The evidence suggests that reversals give way to momentum as turnover increases because high-turnover stocks are more liquid than low-turnover stocks and their returns are more reflective of news-driven trading activity. For example, the correlation between the monthly returns of stocks that announce earnings during the month and their announcement-window returns increases with monthly turnover. Furthermore, sorting stocks into turnover-based portfolios that are rebalanced monthly leads to a disproportionate number of stocks with earnings announcements in the high-turnover portfolios.

我们没有证据显示按营业额排名的前五分之一的小型和大型股票的每月回报出现反转。的确，处于营业额最高位的股票显示短期动能。我们认为这些发现是多种因素共同作用的结果。首先，短期逆转源于短期流动性需求。其次，新闻驱动的回报趋向于持续而不是逆转。第三，营业额可作为流动性和新闻驱动的交易活动的代理。有证据表明，随着营业额的增加，逆转被势头所取代，因为高周转股票比低周转股票更具流动性，其收益更能反映新闻驱动的交易活动。例如，宣布当月收益的股票的月收益与它们的公告窗口收益之间的相关性随月交易量的增加而增加。此外，将股票分类为按月重新平衡的基于营业额的投资组合会导致高周转投资组合中有收益公告的股票数量不成比例。