| 題名: | Constructing a Multifactor Model for the Shanghai Stock Exchange |
| 作者: | Chen, Hsin-Hung;Ku, Kuang-Ping;Lee, Hsiu-Yu |
| 關鍵詞: | book-to-market;four-factor model;price momentum;sales-to-price;size effect |
| 日期: | 2015-07-07 |
| 上傳時間: | 2016-01-06 11:26:50 (UTC+8) |
| 出版者: | Routledge |
| 摘要: | We examine the validity of five factor models for explaining the time-series and cross-sectional variations in stock returns in the Shanghai Stock Exchange. The factor models include four models proposed by previous literature. Moreover, we propose a four-factor model (comprising market, size, book-to-market, and sales-to-price factors) to explain variations of stock returns in the Shanghai Stock Exchange. The results show that the Shanghai stock market exhibits size, book-to-market, and sales-to-price effects. Both the adjusted coefficient of determination and regression model intercepts indicate that the proposed four-factor model explains variations of stock returns in the Shanghai Stock Exchange more effectively in comparison with other multifactor models. |
| 關聯: | Emerging Markets Finance and Trade 51(4), p.S51-S67 |
| DOI: | 10.1080/1540496X.2015.1026720 |
| 顯示於類別: | [財務金融學系暨研究所] 期刊論文
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