摘要： •We document a strong turnover premium for up to 5years.•The turnover premium cannot be explained by existing asset-pricing models.•The turnover premium cannot be explained by existing asset-pricing anomalies.•The turnover premium is consistent with the explanation based on arbitrage risk. A strong turnover premium exists such that stocks with lower turnover have higher future returns in the 5years 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. 出版者： Amsterdam: Elsevier B.V 出版日期： 2013-11-01 出處： Journal of banking & finance, 2013-11, Vol.37 (11), p.4172-4182 資源來源： Elsevier ScienceDirect Journals Complete 版權： 2013 Elsevier B.V. 版權： Copyright Elsevier Sequoia S.A. Nov 2013 識別號： ISSN: 0378-4266 識別號： EISSN: 1872-6372 識別號： DOI: 10.1016/j.jbankfin.2013.07.011 識別號： CODEN: JBFIDO
