The authors undertake a comprehensive investigation of price and volume co-movement using daily New York Stock Exchange data from 1928 to 1987. They adjust the data to take into account well-known calendar effects and long-run trends. To describe the process, they use a seminonparametric estimate of the joint density of current price change and volume conditional on past price changes and volume. Four empirical regularities are found: (1) positive correlation between conditional volatility and volume; (2) large price movements are followed by high volume; (3) conditioning on lagged volume substantially attenuates the "leverage" effect, and (4) after conditioning on lagged volume, there is a positive risk-return relation. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.