Expected return, volume, and mispricing

• 成果类型: Article
• 署名作者: Han, Yufeng; Huang, Dashan; Huang, Dayong; Zhou, Guofu
• 署名单位: University of North Carolina; University of North Carolina Charlotte; Singapore Management University; University of North Carolina; University of North Carolina Greensboro; Washington University (WUSTL)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.05.014
• 发表日期: 2022
• 页码: 1295-1315
• 关键词: turnover; trading volume; Mispricing; DISAGREEMENT; Expectation bias

摘要

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, and controlling for variables that are known to have amplification effects on mispricing. By attributing trading volume to investor disagreement, we show that our results are consistent with the recent theoretical model of Atmaz and Basak (2018) in that investor disagreement predicts stock returns conditional on expectation bias. (c) 2021 Elsevier B.V. All rights reserved.