Real Exchange Rates and Sectoral Productivity in the Eurozone iis7站长之家 设为万家彩票官网


讲座信息 Lectureinformation

High-Volume Return Premium: Does it Exist in the Chinese Stock Market?


We examine the information content of extreme trading activity for portfolio formation to investigate whether high-volume return premium phenomenon (Gervais, Kaniel and Mingelgrin, 2001) exists in Chinese stock markets or not since stock exchanges were established. Using a novel idea of a randomly selected sample of 500 formation days for each of three examination periods, we find that both high-volume and low-volume portfolios perform worse than market average. And high-volume stocks generate inferior returns than low-volume stocks in post stock-split reform period. These are particularly true for small stocks. To identify the probable drivers, we report that the stocks in which more institutional investors are involved show significantly less high-volume return discount. High returns in recent past, triggering the high volume of trading, which end up high volume return discount is likely due to investors’ overconfidence.
下一篇:Real Exchange Rates and Sectoral Productivity in the Eurozone


学院概况College survey MORE


联系我们Contact usMORE



电 话:0451-85861112

手 机:15516288888

地 址:黑龙江省哈尔滨市南岗开发区大顺街40号