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Expected return, volume, and mispricing: Evidence from China

Author

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  • Chen, Xin
  • Chai, Daniel
  • Zhang, Jin

Abstract

We investigate the relation between trading volume and future stock returns across stocks with different levels of mispricing in the Chinese equity market. We first show a negative relation between trading volume and future stock returns. When replicating the main results reported in Han, Huang, Huang and Zhou (2022), we find no evidence of the volume amplification effect in Chinese equities. There is no strong evidence that mispricing plays a role in explaining the volume-return relation. Overall, the results from China suggest that the mechanism in the volume-return relation is somewhat different when compared to those documented in Han et al. (2022).

Suggested Citation

  • Chen, Xin & Chai, Daniel & Zhang, Jin, 2024. "Expected return, volume, and mispricing: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 85(C).
    • Handle: RePEc:eee:pacfin:v:85:y:2024:i:c:s0927538x24001410
    DOI: 10.1016/j.pacfin.2024.102390
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    More about this item

    Keywords

    Trading volume; Mispricing; Stock returns; Chinese market;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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