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Size and price-to-book effects: Evidence from the Chinese stock markets

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  • Hilliard, Jitka
  • Zhang, Haoran

Abstract

We examine the size and price-to-book effects in Chinese markets. We find strong evidence for the size effect but little evidence for the price-to-book effect. We further examine these effects in the context of the monetary policy of the People's Bank of China. We find that the size effect is stronger during the time of restrictive monetary policy. We attribute these results to specific characteristics of Chinese markets, such as potentially lower bankruptcy costs of partially state-owned enterprises.

Suggested Citation

  • Hilliard, Jitka & Zhang, Haoran, 2015. "Size and price-to-book effects: Evidence from the Chinese stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 32(C), pages 40-55.
    • Handle: RePEc:eee:pacfin:v:32:y:2015:i:c:p:40-55
    DOI: 10.1016/j.pacfin.2015.02.003
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    More about this item

    Keywords

    Size effect; Price-to-book ratio effect; Herding behavior; Chinese stock markets; Conditional asset pricing;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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