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Expected Return, Volume, and Mispricing

Han, Yufeng - 2020

We find that expected return is related to trading volume positively among underpriced stocks but negatively among overpriced stocks. As such, trading volume amplifies mispricing. Our results are robust to alternative mispricing and trading volume measures, alternative portfolio formation...

Persistent link: https://www.econbiz.de/10012852383

Expected return, volume, and mispricing

Han, Yufeng; Huang, Dashan; Huang, Dayong; Zhou, Guofu - In: Journal of financial economics 143 (2022) 3, pp. 1295-1315

Persistent link: https://www.econbiz.de/10013402177

What difference do new factor models make in portfolio allocation?

Fabozzi, Frank J.; Huang, Dashan; Jiang, Fuwei; Wang, Jiexun - In: Journal of international money and finance 140 (2024), pp. 1-20

Persistent link: https://www.econbiz.de/10014451422

Security factors as linear combinations of economic variables

Zhou, Guofu - In: Journal of financial markets 2 (1999) 3, pp. 403-432

Persistent link: https://www.econbiz.de/10001426717

Small sample rank tests with applications to asset pricing

Zhou, Guofu - In: Journal of empirical finance 2 (1995) 1, pp. 71-93

Persistent link: https://www.econbiz.de/10001181811

Asset-pricing tests under alternative distributions

Zhou, Guofu - In: The journal of finance : the journal of the American … 48 (1993) 5, pp. 1927-1942

Persistent link: https://www.econbiz.de/10001155917

How much stock return predictability can we expect from an asset pricing model?

Zhou, Guofu - In: Economics letters 108 (2010) 2, pp. 184-186

Persistent link: https://www.econbiz.de/10008699206

Beyond Black-Litterman : letting the data speak

Zhou, Guofu - In: The journal of portfolio management : a publication of … 36 (2009/10) 1, pp. 36-45

Persistent link: https://www.econbiz.de/10003909565

A critique of the stochastic discount factor methodology

Kan, Raymond; Zhou, Guofu - In: The journal of finance : the journal of the American … 54 (1999) 4, pp. 1221-1248

Persistent link: https://www.econbiz.de/10001395748

Testing multi-beta asset pricing models

Velu, Raja P.; Zhou, Guofu - In: Journal of empirical finance 6 (1999) 3, pp. 219-241

Persistent link: https://www.econbiz.de/10001426357

A service of the