淡江大學機構典藏:Item 987654321/104721
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    题名: Constructing a Multifactor Model for the Shanghai Stock Exchange
    作者: Chen, Hsin-Hung;Ku, Kuang-Ping;Lee, Hsiu-Yu
    关键词: book-to-market;four-factor model;price momentum;sales-to-price;size effect
    日期: 2015-07-07
    上传时间: 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
    显示于类别:[財務金融學系暨研究所] 期刊論文

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