期刊論文
| 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 | en_US |
| ISSN | 0927-538X |
| 期刊性質 | 國外 |
| 收錄於 | SSCI |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 是 |
| 國別 | NLD |
| 公開徵稿 | |
| 出版型式 | ,電子版,紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/121842 ) |