Constructing a Multifactor Model for the Shanghai Stock Exchange
學年 103
學期 2
出版（發表）日期 2015-07-07
作品名稱 Constructing a Multifactor Model for the Shanghai Stock Exchange
作品名稱（其他語言）
著者 Chen, Hsin-Hung; Ku, Kuang-Ping; Lee, Hsiu-Yu
單位
出版者
著錄名稱、卷期、頁數 Emerging Markets Finance and Trade 51(4), p.S51-S67
摘要 We examine the validity of five factor models for explaining the time-series and cross-sectional variations in stock returns in the Shanghai Stock Exchange. The factor models include four models proposed by previous literature. Moreover, we propose a four-factor model (comprising market, size, book-to-market, and sales-to-price factors) to explain variations of stock returns in the Shanghai Stock Exchange. The results show that the Shanghai stock market exhibits size, book-to-market, and sales-to-price effects. Both the adjusted coefficient of determination and regression model intercepts indicate that the proposed four-factor model explains variations of stock returns in the Shanghai Stock Exchange more effectively in comparison with other multifactor models.
關鍵字 book-to-market;four-factor model;price momentum;sales-to-price;size effect
語言 en_US
ISSN 1558-0938
期刊性質 國外
收錄於 SSCI
產學合作
通訊作者
審稿制度 是
國別 USA
公開徵稿
出版型式 ,電子版,紙本
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