Empirical Evidence on Mispricing, Trading Volume, and Expected Stock Returns
DOI:
https://doi.org/10.62051/c01tzt39Keywords:
Mispricing (MISP); Expected returns; Trading volume; Amplification effect.Abstract
This study investigates the impact of stock mispricing (MISP) on expected returns in China’s A-share market, using monthly data from March 2008 to March 2025. The analysis further examines the moderating effect of trading volume, measured by turnover. Empirical results show that mispricing exhibits strong predictive power for future returns: undervalued stocks generate higher subsequent returns, while overvalued stocks yield lower returns. Moreover, trading volume plays an amplifying role—high volume accelerates price correction, making the relationship between mispricing and returns more pronounced.
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