Economics at your fingertips  

Arbitrage risk and the turnover anomaly

Pin-Huang Chou, Tsung-Yu Huang and Hung-Jeh Yang

Journal of Banking & Finance, 2013, vol. 37, issue 11, 4172-4182

Abstract: A strong turnover premium exists such that stocks with lower turnover have higher future returns in the 5years following their formation than those with higher turnover. This turnover premium cannot be explained by existing asset-pricing models, a risk-based liquidity factor, or anomalies such as size, book-to-market ratio, or momentum. Further analysis indicates that the turnover premium is greater for stocks with higher idiosyncratic volatility, higher transaction costs, lower institutional ownership, and lower investor sophistication, which implies it is consistent with the mispricing explanation based on arbitrage risk.

Keywords: Turnover; Asset-pricing anomaly; Arbitrage risk; Investor sophistication; Differences of opinion (search for similar items in EconPapers)
JEL-codes: C1 G1 G2 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

Journal of Banking & Finance is currently edited by Ike Mathur

More articles in Journal of Banking & Finance from Elsevier
Series data maintained by Dana Niculescu ().

Page updated 2017-09-29
Handle: RePEc:eee:jbfina:v:37:y:2013:i:11:p:4172-4182