教師資料查詢 | 類別: 期刊論文 | 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109
學期2
出版(發表)日期2021/04/20
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
單位
出版者
著錄名稱、卷期、頁數Pacific-Basin Finance Journal 67, 101551
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Turnover;Difference of opinion;Sentiment;Arbitrage risk
語言英文(美國)
ISSN0927-538X
期刊性質國外
收錄於SSCI;
產學合作
通訊作者
審稿制度
國別荷蘭
公開徵稿
出版型式,電子版,紙本
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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