英文标题：
《The Cross-section of Expected Returns on Penny Stocks: Are Low-hanging
Fruits Not-so Sweet?》
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作者：
Ananjan Bhattacharyya and Abhijeet Chandra
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最新提交年份：
2016
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英文摘要：
In this paper, we study the determinants of expected returns on the listed penny stocks from two perspectives. Traditionally financial economics literature has been devoted to study the macro and micro determinants of expected returns on stocks (Subrahmanyam, 2010). Very few research has been carried out on penny stocks (Liu, Rhee, & Zhang, 2011; Nofsinger & Verma, 2014). Our study is an effort to contribute more empirical evidence on penny stocks in the emerging market context. We see the return dynamics of penny stocks from corporate governance perspective. Issues such as shareholding patters are considered to be of much significance when it comes to understand the price movements. Using cross-sectional data on 167 penny stocks listed in the National Stock Exchange of India, we show that (i) Returns of portfolio of lower market-cap penny stocks are significantly different(higher) than that of higher market-cap penny stocks. (ii)Returns of portfolio lower P/E stocks are significantly different (higher) than that of higher P/E stocks. Similarly, returns of portfolio of lower P/B stocks are significantly different (higher) than that of higher P/B stocks, and returns of portfolio of lower priced penny stocks are significantly different(higher) than that of higher priced penny stocks. (iii) Trading volume differences due to alphabetism are insignificant. (iv)Differences in returns of portfolios based on beta and shareholding patterns are insignificant.
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中文摘要：
本文从两个角度研究了上市低价股预期收益的决定因素。传统上，金融经济学文献致力于研究股票预期收益的宏观和微观决定因素（Subrahmanyam，2010）。很少有人对低价股进行研究（Liu、Rhee和Zhang，2011；Nofsinger和Verma，2014）。我们的研究旨在为新兴市场中的低价股提供更多的实证证据。我们从公司治理的角度来看低价股的回报动态。在理解价格变动时，股权模式等问题被认为是非常重要的。使用印度国家证券交易所上市的167只便士股的横截面数据，我们表明：（i）低市值便士股投资组合的回报率与高市值便士股投资组合的回报率显著不同（更高）。（ii）投资组合市盈率较低的股票的回报率与市盈率较高的股票的回报率显著不同（较高）。同样，低市盈率股票组合的回报率与高市盈率股票组合的回报率显著不同（更高），低市盈率股票组合的回报率与高市盈率股票组合的回报率显著不同（更高）。（iii）由于字母顺序造成的交易量差异不显著。（iv）基于贝塔系数和持股模式的投资组合回报差异不显著。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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