Expected return, volume, and mispricing
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, a...
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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2022
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/6898 https://ink.library.smu.edu.sg/context/lkcsb_research/article/7897/viewcontent/SSRN_id3171375.pdf |
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| Institution: | Singapore Management University |
| Language: | English |