DSpace 立正大学 日本語
 

立正大学学術機関リポジトリ >
学部 >
経営学部 >
立正経営論集 >
35巻2号 >

Please use this identifier to cite or link to this item: http://hdl.handle.net/11266/1189

Title: Security Characteristics and Cross-Section Average Returns in the Stock Market of China
Other Titles: 中国株式市場における証券の特徴とクロス・セクションの平均収益
Authors: Fan, Longzhen
範, 竜振
中国復旦大学管理学院
Keywords: Fama-Macbeth regression
monthly return
factor model
factor effects
Issue Date: 25-Mar-2003
Publisher: 立正大学経営学会
Abstract: With data of monthly stock returns, prices, trading volumes, and corporate financial statements from July 1995 to June 2001, size effect, book-to-market equity ratio effect, E/P ratio effect, trading volume effect, ratio of A-shares to total shares effect, and price effect are found to be obvious in China stock market. These effects can't be explained by their market betas. If two other factors: size factor and book-to-market equity ratio factor are added, the three-factor model of Fama-French's explains the effects quite well in China stock market.
URI: http://hdl.handle.net/11266/1189
Appears in Collections:35巻2号

Files in This Item:

File Description SizeFormat
KJ00000693249.pdf1.5 MBAdobe PDFView/Open

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.