Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7374297 | Pacific-Basin Finance Journal | 2017 | 14 Pages |
Abstract
In this paper we examine the information content of extreme trading activity in the Chinese stock market. We find that zero-investment portfolios that are constructed by buying high-volume and selling low-volume stocks do not generate positive returns (high-volume return premium), which is apparent in developed markets. In contrast, we find that there is a high-volume return discount in speculative stocks (i.e., small-cap stocks, stocks with low institutional ownership and stocks with low analyst-coverage). These stocks tend to have a high degree of over-valuation in the short term followed by a relatively low return. In support, we find a larger discount in the winners group than in the losers group.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Peipei Wang, Yuanji Wen, Harminder Singh,