Expected return, volume, and mispricing

被引：31

作者：

Han, Yufeng ^{[1
]}

Huang, Dashan ^{[2
]}

Huang, Dayong ^{[3
]}

Zhou, Guofu ^{[4
]}

机构：

[1] Univ North Carolina Charlotte, Belk Coll Business, Charlotte, NC 28223 USA

[2] Singapore Management Univ, Lee Kong Chian Sch Business, 50 Stamford Rd, Singapore 178899, Singapore

[3] Univ North Carolina Greensboro, Bryan Sch Business, Greensboro, NC 27402 USA

[4] Washington Univ, Olin Sch Business, St Louis, MO 63130 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2022年 / 143卷 / 03期

关键词：

Turnover; Trading volume; Mispricing; Disagreement; Expectation bias; CROSS-SECTION; INSTITUTIONAL INVESTORS; FAIR DISCLOSURE; TRADING VOLUME; STOCK; INFORMATION; ANOMALIES; MOMENTUM; BEHAVIOR; ANALYST;

D O I：

10.1016/j.jfineco.2021.05.014

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We find that expected return is related to trading volume positively among underpriced stocks but negatively among overpriced stocks. As such, trading volume amplifies mispricing. Our results are robust to alternative mispricing and trading volume measures, alternative portfolio formation methods, and controlling for variables that are known to have amplification effects on mispricing. By attributing trading volume to investor disagreement, we show that our results are consistent with the recent theoretical model of Atmaz and Basak (2018) in that investor disagreement predicts stock returns conditional on expectation bias. (c) 2021 Elsevier B.V. All rights reserved.

引用

页码：1295 / 1315

页数：21

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