The high-volume return premium: Evidence from the Chinese stock market

被引：13
|
作者：
Zhou Z.-G. [1 ]
机构：
[1] Department of Finance, College of Business and Economics, California State University, Northridge
来源：
Review of Quantitative Finance and Accounting | 2010年 / 35卷 / 3期
关键词：
High-low volume and size portfolio; High-low volume portfolio; High-volume return premium; Short-run reversal; Volume momentum portfolio;
D O I：
10.1007/s11156-008-0092-9
中图分类号：
学科分类号：
摘要：
Extreme trading activity contains valuable information about the future evolution of stock prices in the Chinese stock market. Over the next 30 trading days after the initial volume shocks, a high-low volume portfolio earns a net average cumulate return of 2.08% and a high-low volume and size portfolio earns 3.37%, suggesting that there exists a high-volume return premium and that Chinese investors favor high-volume small-size stocks. However, a volume momentum portfolio earns a -1.65% net average cumulative return, indicating that Chinese stocks exhibit a short-run reversal. Portfolio construction, market risk, and firm size do not seem to explain the results. © 2008 Springer Science+Business Media, LLC.
引用
收藏
页码：295 / 313
页数：18
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