The article explores the relationship between stock returns and trading volume using quantile regressions. By introducing a new test for causality, the researchers found that volume can influence returns at different levels, with stronger effects at extreme quantiles. The study reveals that lagged volume can predict future returns, especially at the upper and lower quantiles, forming V-shaped patterns. Additionally, higher trading volume tends to increase return volatility. Conversely, the impact of past returns on volume is mostly negative.