Access the full text.
Sign up today, get DeepDyve free for 14 days.
Loading next page...
/lp/emerald-publishing/efficiency-of-heterogeneity-measures-an-asset-pricing-perspective-2DEs3JwGNV
- Publisher
- Emerald Publishing
- Copyright
- Copyright © Emerald Group Publishing Limited
- ISSN
- 2044-1398
- DOI
- 10.1108/CFRI-02-2015-0013
- Publisher site
- See Article on Publisher Site
Abstract
Purpose – The purpose of this paper is to identify the effective measures for heterogeneity and to uncover the relationship between investor heterogeneity and stock returns. Design/methodology/approach – The paper employs dispersion in analysts’ earnings forecasts and unexpected trading volume as proxies of heterogeneity. Portfolio strategies and Fama-Macbeth regression are used to uncover the relationship between the two proxies and stock returns in the Chinese A-share market. Findings – The result indicates that stock returns are significantly related to unexpected trading volume, i.e., higher unexpected trading volume implies higher stock returns now but lower future stock returns. In contrast, there is no statistically significant relationship between analysts’ forecast dispersion and stock returns. Originality/value – The findings suggest that unexplained trading volume is an effective measure for investor heterogeneity in the Chinese A-share market.
Journal
China Finance Review International – Emerald Publishing
Published: Nov 16, 2015