程式化事实
市场流动性
中国
金融经济学
资本资产定价模型
因子分析
库存(枪支)
动量(技术分析)
计量经济学
资产(计算机安全)
经济
货币经济学
地理
计算机科学
宏观经济学
计算机安全
考古
作者
Yang Liu,Guofu Zhou,Yingzi Zhu
出处
期刊:The Review of Asset Pricing Studies
[Oxford University Press]
日期:2024-01-24
卷期号:14 (2): 348-380
被引量:14
标识
DOI:10.1093/rapstu/raae003
摘要
Abstract We propose a novel trend factor for the Chinese stock market that incorporates both price and volume information to capture dominant individual trading, momentum, and liquidity. We find that volume plays a more significant role in the trend factor for China than for the United States, reflecting the greater retail participation in China. By incorporating this trend factor into the 3-factor model of Liu et al. (2019), we propose a 4-factor model that explains a wide range of stylized facts and 60 representative anomalies. Our study highlights the important role of individual trading in asset pricing, especially in China. (JEL G12, G14, G15)
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