The "value" effect and the market for Chinese stocks
AbstractA long literature in empirical finance has isolated both a "value" and a small-capitalization effect in asset pricing. This study confirms the existence of these "style" effects both in new types of equity indexes and in the stocks of Chinese companies traded in international markets. We then present a new nonparametric method of portfolio construction that enables investors to extract the predictive power of these style effects, without diluting their efficacy through an unintended weighting distribution that closely resembles capitalization weighting. We then develop a simple method to isolate periods where style tilts are likely to be particularly effective.
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Bibliographic InfoArticle provided by Elsevier in its journal Emerging Markets Review.
Volume (Year): 10 (2009)
Issue (Month): 4 (December)
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Web page: http://www.elsevier.com/locate/inca/620356
Asset pricing International financial market;
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