预期回报、交易量和错误定价：来自中国的证据

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE Pacific-Basin Finance Journal Pub Date : 2024-06-01 DOI:10.1016/j.pacfin.2024.102390

Xin Chen , Daniel Chai , Jin Zhang

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引用次数: 0

摘要

我们研究了中国股票市场中不同错误定价水平的股票的交易量与未来股票收益率之间的关系。我们首先发现交易量与未来股票收益率之间存在负相关关系。在复制 Han、Huang、Huang 和 Zhou（2022 年）报告的主要结果时，我们没有发现中国股票交易量放大效应的证据。没有强有力的证据表明错误定价在解释交易量-收益率关系中发挥作用。总体而言，中国的研究结果表明，与 Han 等人（2022 年）的研究结果相比，成交量-收益率关系的机制有些不同。

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Expected return, volume, and mispricing: Evidence from China

We investigate the relation between trading volume and future stock returns across stocks with different levels of mispricing in the Chinese equity market. We first show a negative relation between trading volume and future stock returns. When replicating the main results reported in Han, Huang, Huang and Zhou (2022), we find no evidence of the volume amplification effect in Chinese equities. There is no strong evidence that mispricing plays a role in explaining the volume-return relation. Overall, the results from China suggest that the mechanism in the volume-return relation is somewhat different when compared to those documented in Han et al. (2022).

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来源期刊

Pacific-Basin Finance Journal BUSINESS, FINANCE-

CiteScore

6.80

自引率

6.50%

发文量

157

期刊介绍： The Pacific-Basin Finance Journal is aimed at providing a specialized forum for the publication of academic research on capital markets of the Asia-Pacific countries. Primary emphasis will be placed on the highest quality empirical and theoretical research in the following areas: • Market Micro-structure; • Investment and Portfolio Management; • Theories of Market Equilibrium; • Valuation of Financial and Real Assets; • Behavior of Asset Prices in Financial Sectors; • Normative Theory of Financial Management; • Capital Markets of Development; • Market Mechanisms.