The high-volume return premium: Does it exist in the Chinese stock market?
Yuanji Wen and
Pacific-Basin Finance Journal, 2017, vol. 46, issue PB, 323-336
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.
Keywords: Return premium; Volume shock; Chinese stock market; Speculation (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:46:y:2017:i:pb:p:323-336
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