Research@Lincoln
    • Login
     
    View Item 
    •   Research@Lincoln Home
    • Theses and Dissertations
    • Masters Theses
    • View Item
    •   Research@Lincoln Home
    • Theses and Dissertations
    • Masters Theses
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    An empirical cross-section analysis of stock returns on the Chinese A-Share Stock Market

    Liu, Yao G.
    Abstract
    This research attempts to test the performance of the Fama-French three-factor model (1993) in explaining the stock portfolio returns on the China A-share Stock Market from 1996 to 2005. We will follows Drew, Naughton and Veeraraghavan (2003) method, who adopted the Fama and French's (1993) method to test small sample stock markets. We find the positive relation between book-to-market ratio and stock excess returns, and the negative relationship between size and stock excess returns. And our result demonstrated that the three-factor model is more accurate in predicting stock excess returns than the CAPM, since the adjusted R² value increased and the intercept are not significantly different from zero. The size effect is stronger than the BTM ratio effect. Moreover, our results present that stock profitability is related to size and BTM ratio in China stock market. However, the relationship between stock profitability and size and BTM ratio are unconditional.... [Show full abstract]
    Keywords
    asset pricing; three-factor; firm size; book-to-market; Chinese A-share; cross-section
    Date
    2009
    Type
    Thesis
    Collections
    • Department of Financial and Business Systems [509]
    • Masters Theses [809]
    Share this

    on Twitter on Facebook on LinkedIn on Reddit on Tumblr by Email

    Thumbnail
    View/Open
    Liu_MCM.pdf
    Metadata
     Expand record
    This service is managed by Learning, Teaching and Library
    • Archive Policy
    • Copyright and Reuse
    • Deposit Guidelines and FAQ
    • Contact Us
     

     

    Browse

    All of Research@LincolnCommunities & CollectionsTitlesAuthorsKeywordsBy Issue DateThis CollectionTitlesAuthorsKeywordsBy Issue Date

    My Account

    LoginRegister

    Statistics

    View Usage Statistics
    This service is managed by Learning, Teaching and Library
    • Archive Policy
    • Copyright and Reuse
    • Deposit Guidelines and FAQ
    • Contact Us