Making use of the excessively speculative Chinese stock market, we test the effect of speculative trading on stock returns. We find a significantly negative relationship between abnormal turnover and future returns. In contrast, past average turnover does not predict returns. The effect of...

Existing research does not find significant momentum profits in many emerging markets including China. We propose an alternative momentum strategy which groups stocks into return intervals rather than percentiles. We apply the method to the China A-share market and find economically significant...

We revisit China's overinvestment problem by examining capital return from two perspectives. First, we re-estimate capital returns. The two existing estimation methods generate different results. After adjusting for statistical coverage and assumptions, the two methods achieve largely consistent...