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 InfoPaper provided by Princeton University, Department of Economics, Center for Economic Policy Studies. in its series Working Papers with number 1177.
Date of creation: Jul 2009
Date of revision:
China; stock market; capitalization; stock portolios; equity index;
Find related papers by JEL classification:
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- H32 - Public Economics - - Fiscal Policies and Behavior of Economic Agents - - - Firm
- O53 - Economic Development, Technological Change, and Growth - - Economywide Country Studies - - - Asia including Middle East
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-10-24 (All new papers)
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