Decomposition of book-to-market and the cross-section of returns for Chinese shares
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DOI: 10.1016/j.pacfin.2015.05.004
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Citations
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Cited by:
- Douglas W. Blackburn & Nusret Cakici, 2019. "Book-To-Market Decomposition, Net Share Issuance, and the Cross Section of Global Stock Returns," JRFM, MDPI, vol. 12(2), pages 1-29, May.
- Chen, Jiun-Lin & Glabadanidis, Paskalis & Sun, Mingwei, 2022. "The five-factor asset pricing model, short-term reversal, and ownership structure – the case of China," International Review of Financial Analysis, Elsevier, vol. 82(C).
- Zaremba, Adam & Umutlu, Mehmet, 2018. "Size matters everywhere: Decomposing the small country and small industry premia," The North American Journal of Economics and Finance, Elsevier, vol. 43(C), pages 1-18.
- Guo, Bin & Zhang, Wei & Zhang, Yongjie & Zhang, Han, 2017. "The five-factor asset pricing model tests for the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 43(C), pages 84-106.
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More about this item
Keywords
Chinese stocks; Book-to-market decomposition; Emerging markets; Fama–French; Predictive regression;All these keywords.
JEL classification:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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