The paper verified the relation between stock market illiquidity and stock excess return in time series by new liquidity measure (LDX).
在时间序列上,论文采用新流动性比率指标(LDX)衡量流动性,检验了股票市场非流动性与股票超额收益率之间的关系。
National research shows that excess return is common of initial shares. China as an emerging market, its excess return is amazing.
各国的研究表明,新股超额收益是普遍存在的,中国作为新兴市场,超额收益更是惊人。
In the long term, when choosing positive feedback strategy, we can obtain about 5% returns in excess of market average return.
而在长期采用动量策略,其年化超额收益率虽然较低,但也显著为正,并维持在5%左右。
In the security market, return-loss distribution exist the severe phenomenon of excess kurtosis and heavy tail;
证券市场上收益率分布存在严重的偏峰厚尾现象;
In the security market, return-loss distribution exist the severe phenomenon of excess kurtosis and heavy tail;
证券市场上收益率分布存在严重的偏峰厚尾现象;
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