本研究發現持有交易量週轉率低的股票，並放空交易量週轉率高的股票，在未來五年內可獲得顯著的報酬，且此報酬不能經由風險因子或公司特徵因子所解釋。我們探究低週轉率溢酬持續存在的原因，發現當股票在報酬波動大、交易成本高及市場上投資人成熟度較低時，呈現較大的低週轉率溢酬，此說明低交易量溢酬持續存在的市場異常現象，乃是股票系統性訂價誤差所致。理論上市場中專業的套利者會挖掘套利機會，使得股票訂價誤差迅速消除。然而持續存在低週轉率溢酬的市場異常，暗示了套利者因某些因素而不願進入市場進行套利活動，使得股價長期偏離基本面價值。我們利用套利風險、交易成本及投資人成熟度三個指標來探討何者較能有效嚇阻套利者進行套利活動。本研究發現當股票有較高的報酬波動及股票被投資機構持有的家數越少，低週轉率溢酬是最大的。此外，股票報酬波動高相較於股票報酬波動低的低週轉率溢酬，在樣本期間36年裡，有31年較大；被機構投資人持有家數少相較於被機構投資人持有家數多的股票，低交易量溢酬亦在樣本期間25年裡，有22年是較大的。我們也證明了在控制其他套利風險、交易成本及投資人成熟度的指標後，報酬波動和投資人持有家數會加深低週轉率效應，使得低週轉率溢酬更為顯著。以上結果顯示出，套利風險及投資人成熟度是套利者是否執行套利活動最重要的考量因素。We find that stocks with lower (higher) trading turnover have higher (lower) future returns over five years, and the low turnover premium is less likely associated with compensation for risk or liquidity hypothesis. If the turnover effect presents mispricing due to systematic expectation bias, then professional arbitrageurs should exploit this opportunity and eliminate the mispricing quickly. However, the existence of low turnover premium implies that some reasons let arbitrageurs are not willing to execute arbitrage activities. We show that the low turnover premium is greater for stocks with higher idiosyncratic volatility, higher transaction costs, and lower investor sophistication, corresponding with the market-mispricing explanation for the turnover anomaly. And the stocks with high idiosyncratic volatility (Ivolatility) and stocks with low number of institutional owners (Inst#) have the greatest low turnover premium. Furthermore, the turnover effects for high Ivolatility stocks exceeds low Ivolatility stocks in 31 of the 36 sample years, and for low Inst# stocks surpasses high Inst# stocks in 22 of the 25 sample years. We also show that high Ivolatility and low Inst# will strengthen the turnover effect, beyond the other arbitrage risk, transaction costs and investor sophistication measures. This evidence suggests that high idiosyncratic volatility and low investor sophistication will deter arbitrage activities.
