TY - JOUR
T1 - Arbitrage risk and the turnover anomaly
AU - Chou, Pin Huang
AU - Huang, Tsung Yu
AU - Yang, Hung Jeh
N1 - Funding Information:
The authors gratefully acknowledge comments from John Chen, Robert Durand, S. Ghon Rhee, Hung-Neng Lai, Yihui Lan, Mei-Ying Liu, and Pi-Hui Ting, as well as seminar participants at the annual meeting of the 2012 Asian Finance Association (Taipei, Taiwan). We are especially indebted to the anonymous referee and Ike Mathur (the editor) for their valuable comments that significantly enrich the content of the paper. Chou acknowledges financial support from the National Science Council of Taiwan (Grant Number 98-2410-H-008-041-MY3.).
PY - 2013/11
Y1 - 2013/11
N2 - A strong turnover premium exists such that stocks with lower turnover have higher future returns in the 5. years following their formation than those with higher turnover. This turnover premium cannot be explained by existing asset-pricing models, a risk-based liquidity factor, or anomalies such as size, book-to-market ratio, or momentum. Further analysis indicates that the turnover premium is greater for stocks with higher idiosyncratic volatility, higher transaction costs, lower institutional ownership, and lower investor sophistication, which implies it is consistent with the mispricing explanation based on arbitrage risk.
AB - A strong turnover premium exists such that stocks with lower turnover have higher future returns in the 5. years following their formation than those with higher turnover. This turnover premium cannot be explained by existing asset-pricing models, a risk-based liquidity factor, or anomalies such as size, book-to-market ratio, or momentum. Further analysis indicates that the turnover premium is greater for stocks with higher idiosyncratic volatility, higher transaction costs, lower institutional ownership, and lower investor sophistication, which implies it is consistent with the mispricing explanation based on arbitrage risk.
KW - Arbitrage risk
KW - Asset-pricing anomaly
KW - Differences of opinion
KW - Investor sophistication
KW - Turnover
UR - http://www.scopus.com/inward/record.url?scp=84882793795&partnerID=8YFLogxK
U2 - 10.1016/j.jbankfin.2013.07.011
DO - 10.1016/j.jbankfin.2013.07.011
M3 - 期刊論文
AN - SCOPUS:84882793795
SN - 0378-4266
VL - 37
SP - 4172
EP - 4182
JO - Journal of Banking and Finance
JF - Journal of Banking and Finance
IS - 11
ER -