| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24458 |
| 来源ID | Working Paper 24458 |
| Size and Value in China | |
| Jianan Liu; Robert F. Stambaugh; Yu Yuan | |
| 发表日期 | 2018-04-02 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w24458 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/582132 |
| 推荐引用方式 GB/T 7714 | Jianan Liu,Robert F. Stambaugh,Yu Yuan. Size and Value in China. 2018. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w24458.pdf（639KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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