Share Turnover
Following Datar, Naik and Radcliffe (1998), we calculate a stock’s share turnover, turn, as the average of daily share turnover over the prior k months
| Factor name | Sequence description | Average yield | CH3 Alpha |
||||
|---|---|---|---|---|---|---|---|
| Last January | Last March | Nearly 1 year | 2007 present | 2000 present | |||
| Factor name | Sequence description | Average yield | CH3 Alpha |
||||
|---|---|---|---|---|---|---|---|
| Last January | Last March | Nearly 1 year | 2007 present | 2000 present | |||
| Share Turnover | H | -1.73 | 26.08 | -16.08 | -3.09 | 4.05 | 25.69 |
| L | 19.5 | 30.88 | 28.81 | 38.55 | 33.83 | 17.32 | |
| H-L | -0.19 | 0.78 | -0.63 | -0.13 | 0.06 | 1.37 | |
