English  |  正體中文  |  简体中文  |  全文筆數/總筆數 : 63190/95884 (66%)
造訪人次 : 4621913      線上人數 : 385
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
搜尋範圍 查詢小技巧:
  • 您可在西文檢索詞彙前後加上"雙引號",以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋,建議至進階搜尋限定作者欄位,可獲得較完整資料
  • 進階搜尋
    請使用永久網址來引用或連結此文件: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/121842


    題名: Does the turnover effect matter in emerging markets? Evidence from China
    作者: Chao, Ching-Hsiang;Chen, T. -Y.;Wu, Z. -X.
    關鍵詞: Turnover;Difference of opinion;Sentiment;Arbitrage risk
    日期: 2021-04-20
    上傳時間: 2022-01-04 12:12:24 (UTC+8)
    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.
    關聯: Pacific-Basin Finance Journal 67, 101551
    DOI: 10.1016/j.pacfin.2021.101551
    顯示於類別:[財務金融學系暨研究所] 期刊論文

    文件中的檔案:

    檔案 描述 大小格式瀏覽次數
    Does the turnover effect matter in emerging markets Evidence from China.pdf523KbAdobe PDF76檢視/開啟
    index.html0KbHTML82檢視/開啟

    在機構典藏中所有的資料項目都受到原著作權保護.

    TAIR相關文章

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - 回饋