The high-volume return premium: evidence from the Chinese stock market
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Volume (Year): 35 (2010)
Issue (Month): 3 (October)
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References listed on IDEAS
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- Kie Wong & Ruth Tan & Wei Liu, 2006. "The Cross-Section of Stock Returns on The Shanghai Stock Exchange," Review of Quantitative Finance and Accounting, Springer, vol. 26(1), pages 23-39, February.
- Campbell R. Harvey, 1994.
"Predictable Risk and Returns in Emerging Markets,"
NBER Working Papers
4621, National Bureau of Economic Research, Inc.
- Simon Gervais & Ron Kaniel & Dan Mingelgrin, "undated".
"The High Volume Return Premium,"
Rodney L. White Center for Financial Research Working Papers
01-99, Wharton School Rodney L. White Center for Financial Research.
- Simon Gervais & Ron Kaniel & Dan Mingelgrin, "undated". "The High Volume Return Premium," Rodney L. White Center for Financial Research Working Papers 1-99, Wharton School Rodney L. White Center for Financial Research.
- Harris, Milton & Raviv, Artur, 1993. "Differences of Opinion Make a Horse Race," Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 473-506.
- Jegadeesh, Narasimhan & Titman, Sheridan, 1993. " Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March.
- Andrew W. Lo & Jiang Wang, 2001.
"Trading Volume: Implications of An Intertemporal Capital Asset Pricing Model,"
NBER Working Papers
8565, National Bureau of Economic Research, Inc.
- Andrew W. Lo & Jiang Wang, 2006. "Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model," Journal of Finance, American Finance Association, vol. 61(6), pages 2805-2840, December.
- Tauchen, George E & Pitts, Mark, 1983. "The Price Variability-Volume Relationship on Speculative Markets," Econometrica, Econometric Society, vol. 51(2), pages 485-505, March.
- Karpoff, Jonathan M, 1986. " A Theory of Trading Volume," Journal of Finance, American Finance Association, vol. 41(5), pages 1069-1087, December.
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