Journal of financial economics, 2019-10, Vol.134 (1), p.48-69
2019
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Details
- Autor(en) / Beteiligte
- Titel
- Size and value in China
- Ist Teil von
- Journal of financial economics, 2019-10, Vol.134 (1), p.48-69
- Ort / Verlag
- Amsterdam: Elsevier B.V
- Erscheinungsjahr
- 2019
- Quelle
- Alma/SFX Local Collection
- Beschreibungen/Notizen
- We construct size and value factors in China. The size factor excludes the smallest 30% of firms, which are companies valued significantly as potential shells in reverse mergers that circumvent tight IPO constraints. The value factor is based on the earnings-price ratio, which subsumes the book-to-market ratio in capturing all Chinese value effects. Our three-factor model strongly dominates a model formed by just replicating the Fama and French (1993) procedure in China. Unlike that model, which leaves a 17% annual alpha on the earnings-price factor, our model explains most reported Chinese anomalies, including profitability and volatility anomalies.
- Sprache
- Englisch
- Identifikatoren
- ISSN: 0304-405XeISSN: 1879-2774DOI: 10.1016/j.jfineco.2019.03.008Titel-ID: cdi_proquest_journals_2293932946
- Format
- –
- Schlagworte
- Acquisitions & mergers, Anomalies, China, Earnings, Factors, Initial public offerings, Market value, Mergers, Profitability, Profits, Size, Size of enterprise, Value, Volatility