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Article: Size and value in China
| Title | Size and value in China |
|---|---|
| Authors | |
| Keywords | Anomalies China Value Size Factors |
| Issue Date | 2019 |
| Citation | Journal of Financial Economics, 2019, v. 134 n. 1, p. 48-69 How to Cite? |
| Abstract | © 2019 The Authors 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. |
| Persistent Identifier | http://hdl.handle.net/10722/273695 |
| ISSN | 2023 Impact Factor: 10.4 2023 SCImago Journal Rankings: 13.655 |
| ISI Accession Number ID |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Liu, Jianan | - |
| dc.contributor.author | Stambaugh, Robert F. | - |
| dc.contributor.author | Yuan, Yu | - |
| dc.date.accessioned | 2019-08-12T09:56:23Z | - |
| dc.date.available | 2019-08-12T09:56:23Z | - |
| dc.date.issued | 2019 | - |
| dc.identifier.citation | Journal of Financial Economics, 2019, v. 134 n. 1, p. 48-69 | - |
| dc.identifier.issn | 0304-405X | - |
| dc.identifier.uri | http://hdl.handle.net/10722/273695 | - |
| dc.description.abstract | © 2019 The Authors 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. | - |
| dc.language | eng | - |
| dc.relation.ispartof | Journal of Financial Economics | - |
| dc.rights | This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License. | - |
| dc.subject | Anomalies | - |
| dc.subject | China | - |
| dc.subject | Value | - |
| dc.subject | Size | - |
| dc.subject | Factors | - |
| dc.title | Size and value in China | - |
| dc.type | Article | - |
| dc.description.nature | published_or_final_version | - |
| dc.identifier.doi | 10.1016/j.jfineco.2019.03.008 | - |
| dc.identifier.scopus | eid_2-s2.0-85063597675 | - |
| dc.identifier.volume | 134 | - |
| dc.identifier.issue | 1 | - |
| dc.identifier.spage | 48 | - |
| dc.identifier.epage | 69 | - |
| dc.identifier.isi | WOS:000489066500003 | - |
| dc.identifier.issnl | 0304-405X | - |