Expected return, volume, and mispricing

• Main Authors: HAN, Yufeng, HUANG, Dashan, HUANG, Dayong, ZHOU, Guofu
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2022
• Subjects: Turnover; Trading volume; Mispricing; Disagreement; Expectation bias; Finance and Financial Management; Portfolio and Security Analysis
• 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
• Institution: Singapore Management University

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...