This paper examines the effect of the change in trading volume on the autoregressive behavior of short-term stock returns of the firm portfolio on New York Stock Exchange. the authors find that trading volume does provide valuable information for predicting future stock returns. the authors find momentum (reversal) in contemporaneous, lead and lag weekly returns of firm portfolio when there is abnormal high (low) turnover. the authors find that with, the increase of contemporaneous and lag MRTO from 10th and 90th percentile value, the relationship between week t and t-1 of return increases.