Previous studies show that stocks with abnormally high volumes are associated with high subsequent returns. Using an extrapolation measure implied by survey evidence and theoretical models I show that the high-volume premium is more pronounced among firms with low extrapolative value whereas the premium is mitigated among firms with high extrapolative value. The difference in the high-volume premium between low- and high- extrapolative value firms can be predicted by DOX the market-wide extrapolation level (Cassella and Gulen 2018). I also provide evidence that the documented cross-sectional variation of the high-volume premium is not driven by stock visibility. The results indicate the extrapolative expectation is an important contributor to cross-sectional expected returns.