An empirical cross-section analysis of stock returns on the Chinese A-share stock market
An empirical cross-section analysis of stock returns on the Chinese A-share stock market
Gan, C. ; Hu, Baiding ; Liu, Yao G. ; Li, Zhaohua
Gan, C.
Hu, Baiding
Liu, Yao G.
Li, Zhaohua
Date
2013
Type
Journal Article
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Fields of Research
ANZSRC::150205 Investment and Risk Management , ANZSRC::140301 Cross-Sectional Analysis
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.
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© Christopher Gan, Baiding Hu, Yaoguang Liu, Zhaohua Li, 2013.