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 en_US
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 TWN
公開徵稿
出版型式
出處
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/121521 )