Expected return, volume, and mispricing
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DOI: 10.1016/j.jfineco.2021.05.014
Abstract: Abstract We find that expected return is related to trading volume positively among underpriced stocks but negatively among overpriced stocks. As such, trading volume amplifies mispricing. Our results are robust to alternative mispricing and trading… read more here.
Keywords: return volume; volume; expected return; trading volume ... See more keywords
Changing economic environment and expected return proxies
Sign Up to like & getrecommendations! Published in 2024 at "China Finance Review International"
DOI: 10.1108/cfri-07-2024-0434
Abstract: PurposeWe aim to examine two issues. First, we intend to identify the best performing expected return proxies. Second, we investigate whether the expected return proxies for individual stocks can track the corresponding realized returns during… read more here.
Keywords: methodology; economic environment; return proxies; based proxies ... See more keywords