Arbeitspapier
Information-based trade in the Shanghai stockmarket
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Cardiff Economics Working Papers ; No. E2008/2
- Klassifikation
-
Wirtschaft
- Thema
-
Information-based trade Asset pricing Shanghai Stock Exchange
Aktienmarkt
Asymmetrische Information
Kapitalertrag
China
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Copeland, Laurence
Wong, Woon K.
Zeng, Y
- Ereignis
-
Veröffentlichung
- (wer)
-
Cardiff University, Cardiff Business School
- (wo)
-
Cardiff
- (wann)
-
2008
- Handle
- Letzte Aktualisierung
- 10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Copeland, Laurence
- Wong, Woon K.
- Zeng, Y
- Cardiff University, Cardiff Business School
Entstanden
- 2008
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