Affiliation:
1. Hunan University , China
2. Washington University in St. Louis , USA
3. Tsinghua University , China
Abstract
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)
Funder
Natural Science Foundation of Hunan Province
Social Science Foundation of Hunan Province
National Natural Science Foundation of China
Publisher
Oxford University Press (OUP)
Cited by
4 articles.
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