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Empirical tests of the float-adjusted return model

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  • Zhang, Feng
  • Tian, Yao
  • Wirjanto, Tony S.

Abstract

This paper implements empirical tests of the recently proposed float-adjusted return model by using Chinese stock-market data. The results show that variation in free float can explain cross-sectional variation in asset returns by about 6.7% annually, after we control for market risk, size, and book-to-market equity. In addition, we also find that size and book-to-market equity help explain cross-sectional variations in returns even after controlling for free float.

Suggested Citation

  • Zhang, Feng & Tian, Yao & Wirjanto, Tony S., 2009. "Empirical tests of the float-adjusted return model," Finance Research Letters, Elsevier, vol. 6(4), pages 219-229, December.
    • Handle: RePEc:eee:finlet:v:6:y:2009:i:4:p:219-229
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    References listed on IDEAS

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    Cited by:

    1. Guangchuan Li & Lei Lu & Bo Wu & Zhou Zhang, 2014. "Asymmetric information, illiquidity and asset returns: evidence from China," Quantitative Finance, Taylor & Francis Journals, vol. 14(6), pages 947-957, June.
    2. Jelisavka Bulatovic, 2011. "Application of Method of Financial Risk in Serbian Companies - Survey Sample Company," International Journal of Economics and Financial Issues, Econjournals, vol. 1(2), pages 54-73, June.

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