Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 14, 2022 erstellt
Beschreibung:
We propose a firm-level measurement which relates the strength of stock affected by the upper limit or lower limit in China. Stocks that frequently hit the upper limit generate substantially lower future stock returns. This effect is significant when we control common factors of asset pricing models. The negative relationship between price limits and expected returns is stronger among micro, growth, and state-owned firms, which is also stronger during bull markets. Moreover, we find behavioral mispricing such as investor attention and overreacted trading could induce this effect