关键词: 量价趋势, 信息不对称, 资产定价

Abstract:

In this paper, the relationship between price/volume trend and future stock returns is investigated based on China’s A-share market. The empirical results show that the price/volume trend has a significant predictive power on the cross-sectional stock returns. Stocks with a stronger price/volume trend have lower returns. Meanwhile, the predictive ability is more significant for stocks with a high degree of information asymmetry, such as stocks with a small market capitalization, a high volatility, and a poor liquidity. By synthesizing the volume and price trend factors with equal weight, it is found that the synthesized factor has a better performance than a single factor. The information friction theory and investors’ behavioral biases are helpful in explaining the findings of this paper. In the robustness analysis, it is found that for different variable calculation windows, different time periods and market states, the price and volume trends can provide useful information on cross-sectional stock returns.

Key words: price and volume trends, information asymmetry, asset pricing