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Heterogeneous Beliefs, a Short-Sale Restriction, and the Cross Section of Stock Returns: An Evidence from China
https://doi.org/10.24545/00001099
https://doi.org/10.24545/0000109998f594f0-ed05-4e71-80de-b2f48f8f4e25
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
DP12-12.pdf (313.9 kB)
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| Item type | ディスカッションペーパー / Discussion Paper(1) | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| 公開日 | 2012-10-18 | |||||||||
| タイトル | ||||||||||
| タイトル | Heterogeneous Beliefs, a Short-Sale Restriction, and the Cross Section of Stock Returns: An Evidence from China | |||||||||
| 言語 | en | |||||||||
| 言語 | ||||||||||
| 言語 | eng | |||||||||
| キーワード | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | Heterogeneous Beliefs | |||||||||
| キーワード | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | Cross-Section Returns | |||||||||
| キーワード | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | Short-Sale Prohibition. | |||||||||
| 資源タイプ | ||||||||||
| 資源タイプ | technical report | |||||||||
| ID登録 | ||||||||||
| ID登録 (DOI) | 10.24545/00001099 | |||||||||
| ID登録タイプ | JaLC | |||||||||
| 著者 |
IKEDA, Shin S.
× IKEDA, Shin S.
× ZHANG, Yan
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| 著者別名 | ||||||||||
| 識別子Scheme | WEKO | |||||||||
| 識別子 | 6662 | |||||||||
| 姓名 | 池田, 真介 | |||||||||
| 言語 | ja | |||||||||
| 著者所属 | ||||||||||
| 値 | 政策研究大学院大学 / National Graduate Institute for Policy Studies | |||||||||
| 著者所属 | ||||||||||
| 値 | 政策研究大学院大学 / National Graduate Institute for Policy Studies | |||||||||
| 分野 | ||||||||||
| 内容記述タイプ | Other | |||||||||
| 内容記述 | 経済学 / Economics | |||||||||
| 抄録 | ||||||||||
| 内容記述タイプ | Abstract | |||||||||
| 内容記述 | We find a negative cross-sectional relation between heterogeneous beliefs and future stock returns in China, where short sale is prohibited in our sample period. Compared to other empirical works, which often be done in a market without short sale prohibition, we obtain this strong negative results after controlling several characteristics of stocks, such as size, leverage, book to market ratio and momentum. This negative relationship supports theoretical conjecture on heterogeneous beliefs (Miller (1977)). Our heterogeneous beliefs proxy is unexplained turnover, which is turnover of individual stocks adjusted by market turnover and its momentum. We also control the liquidity and idiosyncratic uncertainty in the robust test. These two factors are often attributed to the reason of the negative relation between turnover and future returns. | |||||||||
| 内容記述 | ||||||||||
| 内容記述タイプ | Other | |||||||||
| 内容記述 | JEL Classification Codes: D1, G1 | |||||||||
| 発行年 | ||||||||||
| 値 | 2012-10 | |||||||||
| 書誌情報 |
en : GRIPS Discussion Papers Report No. DP12-12, 発行日 2012-10-18 |
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| 出版者 | ||||||||||
| 出版者 | GRIPS Policy Research Center | |||||||||
| 言語 | en | |||||||||
| 関連サイト | ||||||||||
| 関連タイプ | isIdenticalTo | |||||||||
| 識別子タイプ | URI | |||||||||
| 関連識別子 | https://ideas.repec.org/p/ngi/dpaper/12-12.html | |||||||||
| 関連名称 | https://ideas.repec.org/p/ngi/dpaper/12-12.html | |||||||||
| 著者情報 | ||||||||||
| 内容記述タイプ | Other | |||||||||
| 内容記述 | https://www.grips.ac.jp/list/jp/facultyinfo/ikeda_shinsuke/ | |||||||||
| 著者版フラグ | ||||||||||
| 出版タイプ | AM | |||||||||
| 出版タイプResource | http://purl.org/coar/version/c_ab4af688f83e57aa | |||||||||
