NDLI: Empirical study of investment performance on listed banks from Shanghai Stock Exchange based on one-quarter holding period

Content Provider	IEEE Xplore Digital Library
Author	Liu Feng-jun Li Fei
Copyright Year	2011
Description	Author affiliation: College of Business, Honghe University, P.R. China, 661100 (Liu Feng-jun) \|\| Dept. of Finance, China Mobile Group Yunnan Company Limited Honghe Branch, P.R. China, 661100 (Li Fei)
Abstract	Knowing whether Pricing is appropriate is meaningful and helpful for professionals to allocate assets across the securities or portfolios efficiently and effectively, to determine what and when to invest in. We use the CAPM model to calculate alphas of the sample bank stocks, and in terms of the alphas to determine whether investment performances of the banks or the banking are better than that of the market portfolio. The paper has the following findings. Although the performance of individual stock is different from that of the market portfolio, no evidence proves that investment performance of the banking is inconsistent to that of market portfolio. And the performance of the low-beta stock is significantly not as good as that of the high-beta stock. At the same time, the paper also finds that the market is rational mean-beta optimizer on the basis of the quarterly holding period.
Starting Page	932
Ending Page	937
File Size	110397
Page Count	6
File Format	PDF
ISBN	9781457718854
ISSN	21551855
e-ISBN	9781457718885
DOI	10.1109/ICMSE.2011.6070071
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2011-09-13
Publisher Place	Italy
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Correlation CAPM Banking Shanghai Stock Exchange Indexes Security based on one-quarter holding period listed bank Investments A share investment performance Stock markets Portfolios
Content Type	Text
Resource Type	Article

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4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
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