Expected return, volume, and mispricing
| Autor: | Yufeng Han, Guofu Zhou, Dashan Huang, Dayong Huang |
|---|---|
| Rok vydání: | 2022 |
| Předmět: |
040101 forestry
Economics and Econometrics 050208 finance Strategy and Management 05 social sciences 04 agricultural and veterinary sciences Experimenter's bias Volume (thermodynamics) Accounting 0502 economics and business Econometrics Economics 0401 agriculture forestry and fisheries Expected return Portfolio Finance Stock (geology) |
| Zdroj: | Journal of Financial Economics. 143:1295-1315 |
| ISSN: | 0304-405X |
| DOI: | 10.1016/j.jfineco.2021.05.014 |
| Popis: | 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. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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