Stock returns explained - using a volume filter, interest rates, and the oil price
Using a volume filter on daily index and stock price data the daily return has been researched. The explanatory variables used in the study are the 1 M T-Bill, the term spread - 10 Y Treasury bond versus a 3 M T-Bill -, and the oil price. The results revealed that accounting for trade volume is an important part in explaining the return of a stock or index. The volume activity provides additional
