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...
Saved in:
| Main Authors: | , , , |
|---|---|
| 格式: | text |
| 語言: | English |
| 出版: |
Institutional Knowledge at Singapore Management University
2022
|
| 主題: | |
| 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 |
| 標簽: |
添加標簽
沒有標簽, 成為第一個標記此記錄!
|