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Trend Factor in China: The Role of Large Individual Trading

Yang Liu et al.

Review of Asset Pricing Studies2024https://doi.org/10.1093/rapstu/raae003article
AJG 3ABDC A*
Weight
0.78

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. (JEL G12, G14, G15)

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https://doi.org/https://doi.org/10.1093/rapstu/raae003

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@article{yang2024,
  title        = {{Trend Factor in China: The Role of Large Individual Trading}},
  author       = {Yang Liu et al.},
  journal      = {Review of Asset Pricing Studies},
  year         = {2024},
  doi          = {https://doi.org/https://doi.org/10.1093/rapstu/raae003},
}

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Trend Factor in China: The Role of Large Individual Trading

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Evidence weight

0.78

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact1.00 × 0.4 = 0.40
M · momentum1.00 × 0.15 = 0.15
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.