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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/104721


    Title: Constructing a Multifactor Model for the Shanghai Stock Exchange
    Authors: Chen, Hsin-Hung;Ku, Kuang-Ping;Lee, Hsiu-Yu
    Keywords: book-to-market;four-factor model;price momentum;sales-to-price;size effect
    Date: 2015
    Issue Date: 2016-01-06 11:26:50 (UTC+8)
    Publisher: Routledge
    Abstract: 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.
    Relation: Emerging Markets Finance and Trade 51(4), pp.S51-S67
    DOI: 10.1080/1540496X.2015.1026720
    Appears in Collections:[財務金融學系暨研究所] 期刊論文

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