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| Content Provider | IEEE Xplore Digital Library |
|---|---|
| Author | Haizhen Yang Chuzhao Wang Yanping Zhao |
| Copyright Year | 2012 |
| Abstract | This paper investigates the factors which capture the cross-sectional variation in average monthly stock returns on Chinese main board A-share market from 1999 to 2010. Using univariate sorting test, univariate and multivariate cross-sectional regressions methods, we fail to find any relationship between beta and stock returns. However, our empirical result shows that there is no size effect but negative BE/ME (book-to-market equity) effect in Chinese stock market, which is different from the results of most previous researches on Chinese stock market. Additionally, liquidity in our test has the strongest power to explain the stock returns which very few researchers have ever found. Finally, we find no relationship between stock returns and E/P (earning-to-price ratio), C/P (cash flow-to-price ratio), D/P (debt-to-price ratio). |
| Starting Page | 303 |
| Ending Page | 307 |
| File Size | 200917 |
| Page Count | 5 |
| File Format | |
| ISBN | 9781467320924 |
| DOI | 10.1109/BIFE.2012.70 |
| Language | English |
| Publisher | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Publisher Date | 2012-08-18 |
| Publisher Place | China |
| Access Restriction | Subscribed |
| Rights Holder | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Subject Keyword | Investments Finance book-to-market equity cross-sectional regressions Chinese stock market liquidity Stock markets Portfolios Sorting Testing firm factors |
| Content Type | Text |
| Resource Type | Article |
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