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The Book-to-Market Anomaly in the Chinese Stock Markets

Author

Listed:
  • Ho, Kin-Yip

    (The Australian National University)

  • An, Jiyoun

    (Kyung Hee University)

  • Zhou, Lanyue

    (University of International Business and Economics)

Abstract

This paper examines the existence of value premium in the Chinese stock markets and empirically provides its explanation. Our results suggest that the value premium does exist in the Chinese markets, and investor sophistication is significant in explaining its existence. In particular, there is supporting evidence that the value premium could be driven by individual investors, whereas stocks that are mostly held by institutional investors are value-premium free. We briefly discuss the implications of our findings.

Suggested Citation

  • Ho, Kin-Yip & An, Jiyoun & Zhou, Lanyue, 2015. "The Book-to-Market Anomaly in the Chinese Stock Markets," East Asian Economic Review, Korea Institute for International Economic Policy, vol. 19(3), pages 223-241, September.
    • Handle: RePEc:ris:eaerev:0022
    DOI: 10.11644/KIEP.JEAI.2015.19.3.297
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    Cited by:

    1. Qian Wang & Xiaojie Pei & Huigang Liang, 2022. "Founder CEO, CEO Characteristics, and Firm Innovation Efficiency: An Empirical Study of China’s GEM-Listed Companies," Sustainability, MDPI, vol. 14(14), pages 1-22, July.
    2. Ho, Kin-Yip & An, Jiyoun, 2020. "Decomposing the value premium: The role of intangible information in the Chinese stock market," Emerging Markets Review, Elsevier, vol. 44(C).

    More about this item

    Keywords

    Book-to-Market Anomaly; Chinese Stock Markets; Empirical Asset Pricing; Value Premium; Investor Sophistication;
    All these keywords.

    JEL classification:

    • F38 - International Economics - - International Finance - - - International Financial Policy: Financial Transactions Tax; Capital Controls
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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