Security Characteristics and Cross-Section Average Returns in the Stock Market of China
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概要
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With data of monthly stock returns, prices, trading volumes, and corporate financial statements from July 1995 to June 2001, size effect, book-to-market equity ratio effect, E/P ratio effect, trading volume effect, ratio of A-shares to total shares effect, and price effect are found to be obvious in China stock market. These effects can't be explained by their market betas. If two other factors: size factor and book-to-market equity ratio factor are added, the three-factor model of Fama-French's explains the effects quite well in China stock market.
- 立正大学経営学会の論文
- 2003-03-25