EconPapers    
Economics at your fingertips  
 

Which is the better fourth factor in China? Reversal or turnover?

Hung-Wen Lin, Jing-Bo Huang, Kun-Ben Lin, Joyce Zhang and Shu-Heng Chen

Pacific-Basin Finance Journal, 2020, vol. 62, issue C

Abstract: We conduct contests between the reversal factor and turnover factor in explaining excess returns, return spreads and negative momentum profits in the Chinese stock market. Our findings indicate that the reversal factor does a better job than the turnover factor in explaining return spreads and negative momentum profits from both the cross-section and time-series perspectives. In addition, the reversal factor is better than the turnover factor when discussing excess returns from the cross-section perspective. By contrast, regardless of whether the time-series turnover factor or the cross-section turnover factor is considered, they are both characterized by insignificant slopes in a factor model facing return spreads, which suggests that there are actually notable underlying shortcomings behind the turnover factor. Overall, our work implies that the reversal factor is a better fourth factor in the Chinese stock market.

Keywords: Asset pricing; Factor models; Price reversal; Cross-section factor (search for similar items in EconPapers)
JEL-codes: G10 G11 G12 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0927538X2030113X
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: https://EconPapers.repec.org/RePEc:eee:pacfin:v:62:y:2020:i:c:s0927538x2030113x

DOI: 10.1016/j.pacfin.2020.101347

Access Statistics for this article

Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee

More articles in Pacific-Basin Finance Journal from Elsevier
Bibliographic data for series maintained by Haili He ().

 
Page updated 2020-10-17
Handle: RePEc:eee:pacfin:v:62:y:2020:i:c:s0927538x2030113x