Morelli, C. (2012) Security returns, beta, size and book-to-market equity: Evidence from the Shanghai A-share market. Review of Quantitative Finance and Accounting, 38 (1). pp. 47-60. ISSN 0924-865X.
| The full text of this publication is not available from this repository. (Contact us about this Publication) | |
| Official URL http://dx.doi.org/10.1007/s11156-010-0218-8 |
Abstract
The main purpose of this paper is to explore the cross-sectional relationship between security returns and beta, size and book-to-market equity in the Shanghai A-share market. This study takes place during the period January 1997–December 2006. The methodology of Fama and French (J Finance 51:55–84, 1992) and Pettengill et al. (J Financial Quant Anal 30:101–116, 1995) is adopted. The Results show no evidence of an unconditional relationship between beta and returns. However, a conditional relationship is found when the data is split into up and down markets. The relationship holds even in the presence of size and book-to-market equity. Both size and book-to-market equity is found to be priced by the market and thereby regarded as significant determinants of security returns.
| Item Type: | Article |
|---|---|
| Subjects: | H Social Sciences > H Social Sciences (General) |
| Divisions: | Faculties > Social Sciences > Kent Business School > Accounting and Finance |
| Depositing User: | J. Ziya |
| Date Deposited: | 01 Oct 2010 15:00 |
| Last Modified: | 01 Feb 2013 14:26 |
| Resource URI: | http://kar.kent.ac.uk/id/eprint/25703 (The current URI for this page, for reference purposes) |
- Depositors only (login required):
