IDEAS home Printed from
   My bibliography  Save this article

Value premium in the Chinese stock market: free lunch or paid lunch?


  • Yujia Huang
  • Jiawen Yang
  • Yongji Zhang


In this article we find that value premium exist throughout our sample period 1998--2008. However, the predictability of Book-to-Market (B/M) ratio appears to be unrelated with financial distress risk. In fact, value stocks are less risky than growth stocks in terms of return volatility and estimated financial distress risk. Further, our results suggest that the factor Value Minus Growth (VMG), which is directly related to value premium, is not a pervasive risk measure compared to the market factor and Small Minus Big (SMB) factor. While the size effect seems to be closely related to distress risk, both size and B/M factors do not appear to be driven by financial distress risk.

Suggested Citation

  • Yujia Huang & Jiawen Yang & Yongji Zhang, 2013. "Value premium in the Chinese stock market: free lunch or paid lunch?," Applied Financial Economics, Taylor & Francis Journals, vol. 23(4), pages 315-324, February.
  • Handle: RePEc:taf:apfiec:v:23:y:2013:i:4:p:315-324
    DOI: 10.1080/09603107.2012.720010

    Download full text from publisher

    File URL:
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:23:y:2013:i:4:p:315-324. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Chris Longhurst). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.