Constructing a Multifactor Model for the Shanghai Stock Exchange

機構典藏 > College of Business and Management > Graduate Institute & Department of Banking and Finance > Journal Article > Item 987654321/104721

Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/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:	2015-07-07
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), p.S51-S67
DOI:	10.1080/1540496X.2015.1026720
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Journal Article

Files in This Item:

File	Description	Size	Format
Constructing a Multifactor Model for the Shanghai Stock Exchange.pdf		390Kb	Adobe PDF	3	View/Open
index.html		0Kb	HTML	230	View/Open