The Review of Asset Pricing Studies Vol. 14 No. 2 2024
Trend Factor in China: The Role of Large Individual Trading
Abstract
We propose a novel trend factor for the Chinese stock market that incorporates both price and volume information to capture dominant individual trading, momentum, and liquidity. We find that volume plays a more significant role in the trend factor for China than for the United States, reflecting the greater retail participation in China. By incorporating this trend factor into the 3-factor model of Liu et al. (2019), we propose a 4-factor model that explains a wide range of stylized facts and 60 representative anomalies. Our study highlights the important role of individual trading in asset pricing, especially in China.
- DOI
- 10.1093/rapstu/raae003
- Volume
- 14
- Issue
- 2
- Pages
- 348-380
- Language
- en
- Sources
- openalex crossref bibtex:phds-export.bib