Publications
Detailed Information
Low-volume return premium in the Korean stock market
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Chae, Joon | - |
dc.contributor.author | Kang, Mhin | - |
dc.date.accessioned | 2022-04-08T01:28:02Z | - |
dc.date.available | 2022-04-08T01:28:02Z | - |
dc.date.created | 2020-01-23 | - |
dc.date.created | 2020-01-23 | - |
dc.date.issued | 2019-12 | - |
dc.identifier.citation | Pacific Basin Finance Journal, Vol.58, p. 101204 | - |
dc.identifier.issn | 0927-538X | - |
dc.identifier.uri | https://hdl.handle.net/10371/177880 | - |
dc.description.abstract | We propose a new mechanism with which we explain an exceptional phenomenon in the Korean stock market, wherein the post-event return of an abnormally low-volume stock is larger than that of an abnormally high-volume stock, in contrast to what happens in other major stock markets. This mechanism is a combination of two market characteristics: one is the mean-reversion of trading volume; the other is the dominance of stocks with a positive correlation between return and change in trading volume. Using evidence from the Korean stock market, we show that the return generated by this mechanism has a highly concentrated distribution with a negative average and that the value has a scale higher than that of positive returns generated by other factors. We conclude that our suggested mechanism can explain the low-volume return premium in the Korean stock market. This finding presents a new way to explain how trading volume change affects future returns. | - |
dc.language | 영어 | - |
dc.publisher | Elsevier BV | - |
dc.title | Low-volume return premium in the Korean stock market | - |
dc.type | Article | - |
dc.identifier.doi | 10.1016/j.pacfin.2019.101204 | - |
dc.citation.journaltitle | Pacific Basin Finance Journal | - |
dc.identifier.wosid | 000501410200001 | - |
dc.identifier.scopusid | 2-s2.0-85073187931 | - |
dc.citation.startpage | 101204 | - |
dc.citation.volume | 58 | - |
dc.description.isOpenAccess | N | - |
dc.contributor.affiliatedAuthor | Chae, Joon | - |
dc.type.docType | Article | - |
dc.description.journalClass | 1 | - |
dc.subject.keywordPlus | LIQUIDITY | - |
dc.subject.keywordPlus | RISK | - |
dc.subject.keywordPlus | AUTOCORRELATION | - |
dc.subject.keywordPlus | DIVERGENCE | - |
dc.subject.keywordPlus | PRICES | - |
- Appears in Collections:
- Files in This Item:
- There are no files associated with this item.
Item View & Download Count
Items in S-Space are protected by copyright, with all rights reserved, unless otherwise indicated.