Arbitrage risk and the turnover anomaly

被引:22
作者
Chou, Pin-Huang [1 ]
Huang, Tsung-Yu [1 ]
Yang, Hung-Jeh [1 ]
机构
[1] Natl Cent Univ, Dept Finance, Jhongli 32001, Taiwan
关键词
Turnover; Asset-pricing anomaly; Arbitrage risk; Investor sophistication; Differences of opinion; TRADING VOLUME; PRICE; MARKET; RETURNS; OPINION; DISAGREEMENT; PERFORMANCE; UNCERTAINTY; INFORMATION; DIVERGENCE;
D O I
10.1016/j.jbankfin.2013.07.011
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
A strong turnover premium exists such that stocks with lower turnover have higher future returns in the 5 years following their formation than those with higher turnover. This turnover premium cannot be explained by existing asset-pricing models, a risk-based liquidity factor, or anomalies such as size, book-to-market ratio, or momentum. Further analysis indicates that the turnover premium is greater for stocks with higher idiosyncratic volatility, higher transaction costs, lower institutional ownership, and lower investor sophistication, which implies it is consistent with the mispricing explanation based on arbitrage risk. (C) 2013 Elsevier B.V. All rights reserved.
引用
收藏
页码:4172 / 4182
页数:11
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