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


  • Ho, Kin-Yip

    () (The Australian National University)

  • An, Jiyoun

    () (Kyung Hee University)

  • Zhou, Lanyue

    () (University of International Business and Economics)


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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    More about this item


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

    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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