The high volume return premium and economic fundamentals

被引：4

作者：

Wang, Zijun ^{[1
]}

机构：

[1] Univ Texas San Antonio, Dept Finance, San Antonio, TX 78249 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2021年 / 140卷 / 01期

关键词：

High volume return premium; Economic fundamentals; Rational and mispricing-based asset pricing models;

D O I：

10.1016/j.jfineco.2020.10.006

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Extending Kaniel et al. (2012) and many others, we present the first empirical evidence that indicates the high volume return premium is linked to economic fundamentals. The volume premium has strong predictive power for future industrial production growth and other macroeconomic indicators with or without controls for common equity pricing factors and business cycle variables. However, only a small portion of the volume premium can be attributed to its comovement with equity return factors and economic risk factors. Mispricing-based factor models also fail to adequately explain the return anomaly. (C) 2020 Elsevier B.V. All rights reserved.

引用

页码：325 / 345

页数：21

共 50 条

[41] Bioethics: A return to fundamentals - Gert,B
不详
[J]. ISSUES IN LAW & MEDICINE, 1997, 13 (02) : 236 - 237
[42] Class, Capital and Crisis: A Return to Fundamentals
Burnham, Peter
[J]. POLITICAL STUDIES REVIEW, 2010, 8 (01) : 27 - 39
[43] PM asks IAEA to 'return to fundamentals'
不详
[J]. CURRENT SCIENCE, 1999, 77 (09): : 1130 - 1130
[44] COMBAT SYSTEM ENGINEERING - A RETURN TO FUNDAMENTALS
MITTURA, A
KARP, MS
[J]. NAVAL ENGINEERS JOURNAL, 1993, 105 (03) : 61 - 69
[45] TOOLS OF THE TRADE: PAYER APPROACHES TO HIGH PATIENT VOLUME, PREMIUM PRICED THERAPIES
Vassoler, H.
Spoors, J.
[J]. VALUE IN HEALTH, 2018, 21 : S178 - S178
[46] Fundamentals of Economic Geography
不详
[J]. SCOTTISH GEOGRAPHICAL MAGAZINE, 1947, 63 (03): : 150 - 150
[47] Fundamentals of economic geography
Jones, Chester Lloyd
[J]. AMERICAN ECONOMIC REVIEW, 1936, 26 (02): : 310 - 310
[48] Fundamentals of Economic Geography
Ekblaw, W. Elmer
[J]. ECONOMIC GEOGRAPHY, 1936, 12 (01) : 105 - 105
[49] Fundamentals of economic geography
Dietrich, B.
[J]. PETERMANNS MITTEILUNGEN, 1937, 83 (02): : 60 - 60
[50] THE ECONOMIC FUNDAMENTALS OF FREEDOM
CABRILLO, F
[J]. REVISTA DE OCCIDENTE, 1984, (33-3) : 209 - 219

← 1 2 3 4 5 →