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 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
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 )