Journal of Financial Markets·Volume 39·June 2018

企业投资，短期回报反转和股票流动性

作者：Moonsoo Kang（Hofstra University）

S. Khaksari（Suffolk University）

Kiseok Nam（Suffolk University）

摘要：本文通过强调企业投资在塑造股票流动性中的作用，建立了企业投资与短期回报反转之间的联系。我们发现对于企业投资较高的股票，短期回报反转并不明显。此外，分析表明，无论其他控制变量如何，企业投资确实会削弱短期回报反转效应。我们认为，目前的研究结果可归因于企业投资对股票风险的影响，通过这种风险，企业投资改善了股票的流动性，并最终导致短期回报反转减弱。

关键词：企业投资，短期反转，股票流动性

Corporate investment, short-term return reversal, and stock liquidity

Moonsoo Kang（Hofstra University）

S. Khaksari（Suffolk University）

Kiseok Nam（Suffolk University）

ABSTRACT

This study establishes a link between corporate investment and short-term return reversal by addressing the role of corporate investment in shaping stock liquidity. We find that short-term return reversal is less pronounced for stocks with high corporate investment. Moreover, the analysis shows that corporate investment indeed attenuates the short-term return reversal effect regardless of other control variables. We argue that the current finding is attributable to the effect of corporate investment on the risk of a stock through which corporate investment improves stock liquidity and eventually leads to weaker short-term return reversal.

Keywords：Corporate investment; Short-term reversal; Stock liquidity

原文链接：https://www.sciencedirect.com/science/article/pii/S1386418116302312

翻译：何杉