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|Title:||The cross-section of stock returns on the Shanghai stock exchange|
|Authors:||Wong, K.A. |
|Citation:||Wong, K.A., Tan, R.S.K., Liu, W. (2006). The cross-section of stock returns on the Shanghai stock exchange. Review of Quantitative Finance and Accounting 26 (1) : 23-39. ScholarBank@NUS Repository. https://doi.org/10.1007/s11156-006-7031-4|
|Abstract:||This study explores the cross-sectional stock return behavior on the A-share market of the Shanghai Stock Exchange (SSE), which is segmented from world's other equity markets. We estimate the effects of beta, firm size, book-to-market equity ratio and a variable unique to the Chinese stock markets, the proportion of firm's floating (tradable) equity over total equity on SSE stocks over the period 1993-2002. We find that smaller firms and value stocks perform better. Systematic risk is negatively significant in down markets. The proportion of floating equity has no direct effect on stock returns. © 2006 Springer Science + Business Media, Inc.|
|Source Title:||Review of Quantitative Finance and Accounting|
|Appears in Collections:||Staff Publications|
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