Turnover premia in China's stock markets

Bing Zhang, Wei Chen and Chung-Ying Yeh

Pacific-Basin Finance Journal, 2021, vol. 65, issue C

Abstract: This paper explores turnover premia in China's stock markets. There is a negative cross-sectional relation between turnover and average realized returns. Turnover premia, which is the return on buying low turnover stocks and shorting high turnover stocks, can reach 34% per annum. In effect, turnover in China's stock markets can be explained mainly by both liquidity risk and firm-specific uncertainty. Turnover premia are more pronounced for firms with higher cash flow risk, an indicator of firm-specific uncertainty. Cash flow risk could also amplify the turnover premia of option-like firms.

Keywords: China's stock markets; Turnover premia; Aggregate volatility risk; Idiosyncratic volatility; Real options; Cash-flow risk (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0927538X20306995
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:65:y:2021:i:c:s0927538x20306995

DOI: 10.1016/j.pacfin.2020.101487

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 Catherine Liu ().