Arbitrage risk and the turnover anomaly

NCUIR > School of Management at National Central University > Department of Finance > journal & Dissertation > Item 987654321/104753

Please use this identifier to cite or link to this item: https://ir.lib.ncu.edu.tw/handle/987654321/104753

Title:	Arbitrage risk and the turnover anomaly
Authors:	周賓凰;Chou, Pin-Huang;Huang, Tsung-Yu;Yang, Hung-Jeh
Contributors:	管理學院財務金融學系
Keywords:	Arbitrage;Arbitrage risk;Asset pricing;Asset-pricing anomaly;Differences of opinion;Economic theory;Investor sophistication;Investors;Liquidity;Ownership;Rates of return;Risk;Risk factors;Risk premiums;Sophistication;Stocks;Studies;Transaction costs;Turnover;Volatility
Date:	2013-11-01
Issue Date:	2026-04-23 11:57:19 (UTC+8)
Publisher:	Elsevier;Amsterdam: Elsevier B.V
Abstract:	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
Appears in Collections:	[Department of Finance] journal & Dissertation

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