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1 103/2 財金系 顧廣平 教授 期刊論文 發佈 Constructing a Multifactor Model for the Shanghai Stock Exchange , [103-2] :Constructing a Multifactor Model for the Shanghai Stock Exchange期刊論文Constructing a Multifactor Model for the Shanghai Stock ExchangeChen, Hsin-Hung; Ku, Kuang-Ping; Lee, Hsiu-Yubook-to-market;four-factor model;price momentum;sales-to-price;size effectEmerging Markets Finance and Trade 51(4), p.S51-S67We 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 Stoc
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