教師資料查詢 | 類別: 會議論文 | 教師: 趙慶祥CHAO, CHING-HSIANG (瀏覽個人網頁)

標題:Does the turnover effect matter in emerging markets? Evidence from China
學年110
學期1
發表日期2021/09/24
作品名稱Does the turnover effect matter in emerging markets? Evidence from China
作品名稱(其他語言)
著者Tsung-Yu Chen; Ching-Hsiang Chao; Zhen-Xing Wu
作品所屬單位
出版者
會議名稱2021臺灣財務金融學會年會暨國際研討會
會議地點桃園市,桃園
摘要In this paper, we examine the turnover effect in China's stock market and find that stocks with low turnover generate higher future returns than stocks with high turnover. The turnover effect is robust after various liquidity measures are controlled for, and it cannot be explained by existing asset-pricing models. Further evidence reveals that the turnover effect (1) is stronger when sentiment is high; (2) is stronger for stocks with lower investor sophistication, higher idiosyncratic volatility, higher transaction costs, and lower institutional ownership; and (3) persists in longer horizons. These findings are consistent with the mispricing explanation.
關鍵字
語言英文(美國)
收錄於
會議性質國際
校內研討會地點
研討會時間20210924~20210925
通訊作者
國別中華民國
公開徵稿
出版型式
出處
相關連結
SDGs
  • 優質教育,尊嚴就業與經濟發展,減少不平等
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