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    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


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