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

摘要：

针对中国A股市场，考察量价趋势与股票未来收益率之间的关系。实证结果表明，量价趋势对股票横截面收益率具有显著的预测能力：成交量或价格上升趋势越强的股票，其未来的收益率越低。同时，对于信息不对称程度较高的股票，如市值较小、波动率较高或流动性较差的股票，量价趋势因子的预测能力更为显著。通过将量价趋势信息进行合成，研究发现，合成后的因子比单个因子有更好的表现。研究表明：投资者在进行投资交易时，综合利用量价信息能够获得显著的超额收益。同时，信息不对称是影响股票定价效率的重要因素，降低信息不对称程度有助于提高股票市场有效性。

关键词: 量价趋势, 信息不对称, 资产定价