Turnover
Share Turnover — Datar Naik and Radcliffe 1998
Liquidity
Quick facts
| Factor ID | Turnover |
| Display name | Share Turnover |
| Family | Predictor |
| Category | Liquidity |
| Direction | lower_expected_return |
| Status | supported |
| Paper | Datar Naik and Radcliffe 1998 |
| Source tables | daily_basic |
| Required fields | turnover_rate |
| PIT required | no |
| Coverage | 2010-02-03 – 2026-05-15 · 679,537 rows · 99.2% of panel |
Formula
mean(turnover_rate over t-21 through t-1)
Average share turnover rate over the prior month.
China adaptation
Use Tushare turnover_rate when available to avoid free-float reconstruction errors.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 195 |
| Monthly mean | 0.9530% |
| Monthly std | 5.1143% |
| Annualized Sharpe | 0.65 |
| t-stat (simple) | 2.60 |
| Hit rate (months > 0) | 60.0% |
| Last 12M compounded | -7.57% |
| Cumulative wealth (start = 1) | 4.941 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | -3.32% | 5.169 | 5129 |
| 2025-06 | +3.37% | 5.343 | 5140 |
| 2025-07 | -2.19% | 5.226 | 5143 |
| 2025-08 | +2.79% | 5.371 | 5147 |
| 2025-09 | +3.50% | 5.560 | 5150 |
| 2025-10 | +0.60% | 5.593 | 5154 |
| 2025-11 | -0.41% | 5.570 | 5162 |
| 2025-12 | -1.35% | 5.495 | 5168 |
| 2026-01 | -3.01% | 5.330 | 5179 |
| 2026-02 | +5.78% | 5.638 | 5180 |
| 2026-03 | -6.22% | 5.287 | 5187 |
| 2026-04 | -6.54% | 4.941 | 5175 |
Known data issues
Tushare turnover_rate_f had extreme vendor artifacts so total turnover is preferred.
Notes
Speculative turnover is central in China retail-trading literature.
See also: Liquidity family, Factor library, Factor returns.