Research@Lincoln
    • Login
     
    View Item 
    •   Research@Lincoln Home
    • Faculty of Agribusiness and Commerce
    • Department of Financial and Business Systems
    • View Item
    •   Research@Lincoln Home
    • Faculty of Agribusiness and Commerce
    • Department of Financial and Business Systems
    • 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

    Gan, C.; Hu, Baiding; Liu, Yao G.; Li, Zhaohua
    Abstract
    This study applied the Fama-French three-factor model (1993) and CAPM to examine A-shares in Chinese equity market from 1996 to 2005. The authors find a positive relation between book-to-market ratio and stock excess returns, and negative between size and stock excess returns. The results demonstrate that the Fama-French three-factor is more accurate in predicting stock returns than the CAPM. The size effect is stronger than that of the book-to-market ratio (BTM). The results also suggest that stock profitability is related to size and BTM ratio in China's stock market.
    Keywords
    asset pricing; cross-section analysis; three-factor model; firm size; book-to-market; Chinese A-share
    Fields of Research
    150205 Investment and Risk Management; 140301 Cross-Sectional Analysis
    Date
    2013
    Type
    Journal Article
    Collections
    • Department of Financial and Business Systems [553]
    Thumbnail
    View/Open
    Gan, An empirical cross-section analysis, 2013.pdf
    Share this

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

    Metadata
     Expand record
    © Christopher Gan, Baiding Hu, Yaoguang Liu, Zhaohua Li, 2013.
    Citation
    Gan, C., Hu, B., Liu, Y., & Li, Z. (2013). An empirical cross-section analysis of stock returns on the Chinese A-share stock market. Investment Management and Financial Innovations, 10(1), 127-136.
    This service is maintained by Learning, Teaching and Library
    • Open Access 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 maintained by Learning, Teaching and Library
    • Open Access Policy
    • Copyright and Reuse
    • Deposit Guidelines and FAQ
    • Contact Us