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: HAN, Yufeng, HUANG, Dashan, HUANG, Dayong, ZHOU, Guofu
格式: text
語言:English
出版: Institutional Knowledge at Singapore Management University 2022
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在線閱讀: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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