进一步，进行横截面分析，分别按照规模、换手率、股票价格、市净率进行分析，发现大盘股、低换手率股票和高价格股票具有较大的动量净利润。
Further more, in the cross-section; I get the conclusion that the stocks with big size, stocks with low turnover and stocks with high price can earn large abnormal momentum profit.
首先在全部股票样本中选取同时具有大公司高价低换手率的股票建立另一个样本。
First, we choose the stocks which has such characters as big company, high price and low turnover from all the stocks to build up a new sample.
第五，市场换手率对我国股票收益率解释力较弱。
Fifth, the market turnover on the explanatory power of stock returns is weak.
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