Information-based trade in the Shanghai stock market |
| |
| Authors: | Laurence Copeland Woon K Wong Yong Zeng |
| |
| Institution: | aInvestment Management Research Unit, Cardiff Business School, UK;bInvestment Management Research Unit, Cardiff Business School, Aberconway Building, Colum Drive, Cardiff CF10 3EU, UK;cSchool of Management and Economics, University of Electronic Science and Technology of China, PR China |
| |
| Abstract: | We show that the probability of information-based trade (PIN) played a significant role in explaining monthly returns on Shanghai A shares over the period 2001 to 2006. In particular, PIN, as approximated by order imbalance as a proportion of total transactions, appears to explain returns even after controlling for risk in the much-cited Fama and French Fama, E. F. & French, K. R. (1992). The Cross-Section of Expected Stock Returns. Journal of Finance, XLVII, 427–465.] three-factor model. However, we also find that some of the PIN effect appears to be indistinguishable from a turnover effect. |
| |
| Keywords: | Information-based trade Asset pricing Shanghai Stock Exchange |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
