IDEAS home Printed from https://ideas.repec.org/a/taf/apeclt/v33y2026i7p987-993.html

PMO factor crowding and returns: evidence from China

Author

Listed:
  • Shuai Xing
  • Yi Luo
  • Tieming Li

Abstract

Using data from the Chinese stock market from 2000–2023, we first re-examine the Pessimistic-Minus-Optimistic (PMO) effect induced by the abnormal turnover rates in the A-share market. Next, we construct a crowding index of the PMO factor. And the findings show that the crowding index of the PMO factor could have a significant negative impact on the future PMO returns and vice versa, considering the realistic strict short-selling constraint. These mutual influences are short-term and will quickly decay. However, we do not observe a similar pattern in the ideal context of no restrictions on short-selling. This implies that relaxing restrictions in the stock market is beneficial for reducing mispricing errors in China to some extent.

Suggested Citation

  • Shuai Xing & Yi Luo & Tieming Li, 2026. "PMO factor crowding and returns: evidence from China," Applied Economics Letters, Taylor & Francis Journals, vol. 33(7), pages 987-993, April.
    • Handle: RePEc:taf:apeclt:v:33:y:2026:i:7:p:987-993
    DOI: 10.1080/13504851.2024.2401517
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/13504851.2024.2401517
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/13504851.2024.2401517?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:33:y:2026:i:7:p:987-993. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEL20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.