The high-volume return premium: Does it exist in the Chinese stock market?

Peipei Wang, Yuanji Wen, Harminder Singh

Research output: Contribution to journalArticlepeer-review

8 Citations (Scopus)

Abstract

In this paper we examine the information content of extreme trading activity in the Chinese stock market. We find that zero-investment portfolios that are constructed by buying high-volume and selling low-volume stocks do not generate positive returns (high-volume return premium), which is apparent in developed markets. In contrast, we find that there is a high-volume return discount in speculative stocks (i.e., small-cap stocks, stocks with low institutional ownership and stocks with low analyst-coverage). These stocks tend to have a high degree of over-valuation in the short term followed by a relatively low return. In support, we find a larger discount in the winners group than in the losers group.
Original languageEnglish
Pages (from-to)323-336
Number of pages14
JournalPacific-Basin Finance Journal
Volume46
Issue numberPart B
Publication statusPublished - Dec 2017

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