| Does the turnover effect matter in emerging markets? Evidence from China | |
|---|---|
| 學年 | 110 |
| 學期 | 1 |
| 發表日期 | 2021-09-24 |
| 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 |
| 作品所屬單位 | |
| 出版者 | |
| 會議名稱 | 2021臺灣財務金融學會年會暨國際研討會 |
| 會議地點 | 桃園市，桃園 |
| 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 | |
| 語言 | en_US |
| 收錄於 | |
| 會議性質 | 國際 |
| 校內研討會地點 | 無 |
| 研討會時間 | 20210924~20210925 |
| 通訊作者 | |
| 國別 | TWN |
| 公開徵稿 | |
| 出版型式 | |
| 出處 | |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/121521 ) |
| SDGS | 優質教育,尊嚴就業與經濟發展,減少不平等 |
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