APB Price-Volume Factors for Measuring Stock Buying and Selling Pressure
Summary
The research note introduces APB, a stock factor intended to estimate buying and selling pressure from the relationship between price and volume. It defines the measure as the logarithm of the ratio between an equally weighted average price and a volume-weighted average price. The rationale is that buyers accumulating at lower prices and sellers transacting at higher prices can shift the volume-weighted average relative to the simple average. Three versions measure pressure over monthly, five-session, and intraday horizons.
The note reports cross-sectional performance tests: the five-session and intraday versions show positive monthly rank information coefficients and long-short returns, with the shorter-horizon measures stronger than the monthly version. It also reports that the intraday measure has low correlation with daily measures and that APB retains selection power after controlling for other factor groups. These are reported study results, not guarantees of future returns; the authors flag model failure and extreme market conditions as risks. The supplied text does not include the full paper or enough methodological detail to independently assess the tests.
Key ideas
- APB compares an equally weighted average price with a volume-weighted average price using a logarithmic ratio.
- The study constructs monthly, five-session, and intraday versions to represent different trading horizons.
- Reported tests find cross-sectional stock-selection value, with shorter-horizon versions outperforming the monthly measure.
- Intraday APB appears less correlated with daily variants and may add complementary information.
- The reported results are subject to model failure and extreme-market risks.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.