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|Title:||Profitability of return and volume-based investment strategies in China's stock market||Authors:||Wang, C.
China's stock market
|Issue Date:||2004||Citation:||Wang, C.,Chin, S. (2004). Profitability of return and volume-based investment strategies in China's stock market. Pacific Basin Finance Journal 12 (5) : 541-564. ScholarBank@NUS Repository. https://doi.org/10.1016/j.pacfin.2003.12.002||Abstract:||We examine the informational role of the interaction between past returns and past trading volume in the prediction of cross-sectional returns over intermediate horizons in China's stock market. Our results show that low-volume stocks outperform high-volume stocks, volume discounts are more pronounced for past winners than for past losers, low-volume stocks experience return continuations, and high-volume winners exhibit return reversals. Our results are robust to risk adjustments relative to Fama and French's three-factor model, and to stock exchange as well as large stock sub-samples. Our findings are not entirely consistent with the literature, which are likely to result from the market characteristics, in particular, the short-sales prohibition and the dominance of individual investors in the market. © 2004 Elsevier B.V. All rights reserved.||Source Title:||Pacific Basin Finance Journal||URI:||http://scholarbank.nus.edu.sg/handle/10635/44485||ISSN:||0927538X||DOI:||10.1016/j.pacfin.2003.12.002|
|Appears in Collections:||Staff Publications|
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