The Book-to-Market Anomaly in the Chinese Stock Markets
1
조회
0
다운로드
0
인용
0
참고문헌
키워드
초록
This paper examines the existence of value premium in the Chinese stock markets and empirically provides its explanation. Our results suggest that the value premium does exist in the Chinese markets, and investor sophistication is significant in explaining its existence. In particular, there is supporting evidence that the value premium could be driven by individual investors, whereas stocks that are mostly held by institutional investors are value-premium free. We briefly discuss the implications of our findings.
Abstract
This paper examines the existence of value premium in the Chinese stock markets and empirically provides its explanation. Our results suggest that the value premium does exist in the Chinese markets, and investor sophistication is significant in explaining its existence. In particular, there is supporting evidence that the value premium could be driven by individual investors, whereas stocks that are mostly held by institutional investors are value-premium free. We briefly discuss the implications of our findings.
참고문헌 (30)
- Ali, A, "Arbitrage Risk and Book to Market Anomaly", Journal of Financial Economics, 69(2), pp.355~373 (2003)
- Arshanapalli, B, "The Value, Size and Momentum Spread during Distressed Economic Periods", Finance Research Letters, 3(4), pp.244~252 (2006)
- Asness, C. S, "Value and Momentum Everywhere", Journal of Finance, 68(3), pp.929~985 (2013)
- Non-marketability and One-day Selling Lock-up, "Bian, J", University of International Business and Economics, ~ (2015)
- Campbell, J, "In Search of Distress Risk", Journal of Finance, 63(6), pp.2899~2939 (2008)
- Chang, E. C, "Short-selling, Margin-trading, and Price Efficiency: Evidence from the Chinese Market", Journal of Banking & Finance, 48, pp.411~424 (2014)
- Chen, G, "Trading Performance, Disposition Effect, Overconfidence, Representativeness Bias, and Experience of Emerging Market Investors", Journal of Behavioral Decision Making, 20(4), pp.425~451 (2007)
- Corwin, S, "A Simple Way to Estimate Bid-ask Spreads from Daily High and Low Prices", Journal of Finance, 67(2), pp.719~760 (2012)
- Dichev, I, "Is the Risk of Bankruptcy a Systematic Risk?", Journal of Finance, 53(3), pp.1131~1147 (1998)
- Drew, M. E, "Firm Size, Book-to-Market Equity and Security Returns: Evidence from the Shanghai Stock Exchange", Australian Journal of Management, 28(2), pp.119~139 (2003)
- Eun, C. S, "Asset Pricing in China’s Domestic Stock Markets: Is There a Logic?", Pacific-Basin Finance Journal, 15(5), pp.452~480 (2007)
- Fama, E. F, "Size and Book-to-Market Factors in Earnings and Returns", Journal of Finance, 50(1), pp.131~155 (1995)
- Fama, E. F, "Multifactor Explanations of Asset Pricing Anomalies", Journal of Finance, 51(1), pp.55~84 (1996)
- Fama, E. F, "Value Versus Growth: The International Evidence", Journal of Finance, 53(6), pp.1975~1999 (1998)
- Fama, E. F, "Size, Value and Momentum in International Stock Returns", Journal of Financial Economics, 105(3), pp.457~472 (2012)
- Fama, E. F, "Risk, Return, and Equilibrium: Empirical Tests", Journal of Political Economy, 81(3), pp.607~636 (1973)
- Green, S, "China’s Stock Market: A Guide to Its Progress, Players and Prospects" (2003), Economist in Association with Profile Books
- Griffin, J, "Book-to-Market Equity, Distress Risk, and Stock Returns", Journal of Finance, 57(5), pp.2317~2336 (2002)
- La Porta, R, "Good News for Value Stocks: Further Evidence on Market Efficiency", Journal of Finance, 52(2), pp.859~874 (1997)
- Lakonishok, J, "Contrarian Investment, Extrapolation, and Risk", Journal of Finance, 49(5), pp.1541~1578 (1994)
- Lindaas, K, "The Value Premium, Aggregate Risk Innovations, and Average Stock Returns", Finance Research Letters, 11(3), pp.303~317 (2014)
- Mei, J, "Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia", Annals of Economics and Finance, 10(2), pp.225~255 (2009)
- Newey, W, "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix", Econometrica, 55(3), pp.703~708 (1987)
- Ng, L, "Revealed Stock Preferences of Individual Investors: Evidence from Chinese Equity Markets", Pacific-Basin Finance Journal, 14(2), pp.175~192 (2006)
- Ng, L, "The Trading Behavior of Institutions and Individuals in Chinese Equity Markets", Journal of Banking and Finance, 31(9), pp.2695~2710 (2007)
- Phalippou, L, "Can Risk-based Theories Explain the Value Premium?", Review of Finance, 11(2), pp.143~166 (2007)
- Phalippou, L, "Where is the Value Premium?", Financial Analysts Journal, 64(2), pp.41~48 (2008)
- Skinner, D, "Earnings Surprises, Growth Expectations, and Stock Returns or Don’t Let an Earnings Torpedo Sink Your Portfolio", Review of Accounting Studies, 7(2-3), pp.289~312 (2002)
- Shleifer, A, "The Limits of Arbitrage", Journal of Finance, 52(1), pp.35~55 (1997)
- Tan, L, "Herding Behavior in Chinese Stock Markets: An Examination of A and B Shares", Pacific-Basin Finance Journal, 16(1-2), pp.61~77 (2008)
