Security returns, beta, size and book-to-market equity: Evidence from the Shanghai A-share market.

Morelli, David A. (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 currently available from this repository. You may be able to access a copy if URLs are provided)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. (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: 23 Jun 2014 12:54
Resource URI: https://kar.kent.ac.uk/id/eprint/25703 (The current URI for this page, for reference purposes)
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