An empirical cross-section analysis of stock returns on the Chinese A-share stock market

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dc.contributor.authorGan, C.
dc.contributor.authorHu, Baiding
dc.contributor.authorLiu, Yao G.
dc.contributor.authorLi, Zhaohua
dc.date.accessioned2016-10-13T22:49:45Z
dc.date.issued2013
dc.description.abstractThis 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.en
dc.format.extent127-136en
dc.identifier.citationGan, 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.
dc.identifier.eissn1812-9358en
dc.identifier.issn1810-4967en
dc.identifier.urihttps://hdl.handle.net/10182/7492
dc.language.isoen
dc.publisherLLC “СPС “Business Perspectives”
dc.publisher.placeUkraineen
dc.relationThe original publication is available from - LLC “СPС “Business Perspectives” - https://businessperspectives.org/journals/investment-management-and-financial-innovations/issue-1-cont-8/an-empirical-cross-section-analysis-of-stock-returns-on-the-chinese-a-share-stock-marketen
dc.relation.isPartOfInvestment Management and Financial Innovationsen
dc.rights© Christopher Gan, Baiding Hu, Yaoguang Liu, Zhaohua Li, 2013.
dc.subjectasset pricingen
dc.subjectcross-section analysisen
dc.subjectthree-factor modelen
dc.subjectfirm sizeen
dc.subjectbook-to-marketen
dc.subjectChinese A-shareen
dc.subject.anzsrcANZSRC::150205 Investment and Risk Managementen
dc.subject.anzsrcANZSRC::140301 Cross-Sectional Analysisen
dc.titleAn empirical cross-section analysis of stock returns on the Chinese A-share stock marketen
dc.typeJournal Article
lu.contributor.unitLincoln University
lu.contributor.unitFaculty of Agribusiness and Commerce
lu.contributor.unitDepartment of Financial and Business Systems
lu.contributor.unitDepartment of Global Value Chains and Trade
lu.identifier.orcid0000-0002-4732-7997
lu.identifier.orcid0000-0002-5618-1651
lu.identifier.orcid0000-0002-0991-1375
pubs.issue1en
pubs.notesIssue #1 (cont.)/2013en
pubs.publication-statusPublisheden
pubs.publisher-urlhttps://businessperspectives.org/journals/investment-management-and-financial-innovations/issue-1-cont-8/an-empirical-cross-section-analysis-of-stock-returns-on-the-chinese-a-share-stock-marketen
pubs.volume10en
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