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Size and Value in China / Jianan Liu, Robert F. Stambaugh, Yu Yuan.
- Format:
- Book
- Author/Creator:
- Liu, Jianan.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w24458.
- NBER working paper series no. w24458
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2018.
- Summary:
- We construct size and value factors in China. The size factor excludes the smallest 30% of firms, which are companies valued significantly as potential shells in reverse mergers that circumvent tight IPO constraints. The value factor is based on the earnings-price ratio, which subsumes the book-to-market ratio in capturing all Chinese value effects. Our three-factor model strongly dominates a model formed by just replicating the Fama and French (1993) procedure in China. Unlike that model, which leaves a 17% annual alpha on the earnings- price factor, our model explains most reported Chinese anomalies, including profitability and volatility anomalies.
- Notes:
- Print version record
- March 2018.
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