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Title: Profitability of return and volume-based investment strategies in China's stock market
Authors: Wang, C. 
Chin, S.
Keywords: Asset pricing
China's stock market
Investment strategy
Trading volume
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.
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
ISSN: 0927538X
DOI: 10.1016/j.pacfin.2003.12.002
Appears in Collections:Staff Publications

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