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The "value" effect and the market for Chinese stocks

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Listed:
  • Malkiel, Burton
  • Jun, Derek

Abstract

A long literature in empirical finance has isolated both a "value" and a small-capitalization effect in asset pricing. This study confirms the existence of these "style" effects both in new types of equity indexes and in the stocks of Chinese companies traded in international markets. We then present a new nonparametric method of portfolio construction that enables investors to extract the predictive power of these style effects, without diluting their efficacy through an unintended weighting distribution that closely resembles capitalization weighting. We then develop a simple method to isolate periods where style tilts are likely to be particularly effective.

Suggested Citation

  • Malkiel, Burton & Jun, Derek, 2009. "The "value" effect and the market for Chinese stocks," Emerging Markets Review, Elsevier, vol. 10(4), pages 227-241, December.
    • Handle: RePEc:eee:ememar:v:10:y:2009:i:4:p:227-241
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    References listed on IDEAS

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    Cited by:

    1. Yi, Li & He, Lei, 2016. "False discoveries in style timing of Chinese mutual funds," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 194-208.
    2. Lischewski, Judith & Voronkova, Svitlana, 2012. "Size, value and liquidity. Do They Really Matter on an Emerging Stock Market?," Emerging Markets Review, Elsevier, vol. 13(1), pages 8-25.

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