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Pricing cloud stocks: Evidence from China

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  • Lichao Lin
  • Adrian (Wai Kong) Cheung

Abstract

Using factor models, we examine two pricing issues of cloud stocks in China's stock market. In particular, we test whether the Fama and French factor models are useful to explain the stock prices of cloud stocks and whether there are abnormal returns unexplained by these models. Using the daily stock prices of 1670 cloud stocks from 2012 to 2022, we find that the factor models explain up to nearly 97% of the stock return variations of the cloud stocks, and mispricing. The results are robust to alternative measure of factors, outliers, sampling period and different approaches of factor modelling.

Suggested Citation

  • Lichao Lin & Adrian (Wai Kong) Cheung, 2024. "Pricing cloud stocks: Evidence from China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 64(1), pages 811-832, March.
    • Handle: RePEc:bla:acctfi:v:64:y:2024:i:1:p:811-832
    DOI: 10.1111/acfi.13162
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