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Size and price-to-book effects: Evidence from the Chinese stock markets

Citations

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Cited by:

  1. Gharghori, Philip & Nguyen, Annette, 2025. "Which factors in China? A pre-registered report," Pacific-Basin Finance Journal, Elsevier, vol. 91(C).
  2. Yin, Libo & Xin, Yu, 2024. "China's cognitive bias premium: An exploration of innovation information," International Review of Economics & Finance, Elsevier, vol. 96(PA).
  3. Huang, Jiexiang & Guo, Wei & Zhang, Jin E., 2020. "Do stocks outperform bank deposits in China?," Pacific-Basin Finance Journal, Elsevier, vol. 64(C).
  4. Yin, Libo & Liao, Huiyi, 2020. "Firm’s quality increases and the cross-section of stock returns: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 228-243.
  5. Yin, Libo & Bai, Ruxue, 2023. "China's diversification discount: The role of the information environment," International Review of Financial Analysis, Elsevier, vol. 88(C).
  6. Gong, Pu & Dai, Jun, 2017. "Monetary policy, exchange rate fluctuation, and herding behavior in the stock market," Journal of Business Research, Elsevier, vol. 76(C), pages 34-43.
  7. Li, Cong-Cong & Xu, Hai-Chuan & Zhou, Wei-Xing, 2020. "News coverage and portfolio returns: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 60(C).
  8. Gareeva Yuliya & Dranev Yury & Kucherov Alexander, 2018. "The Impact of Innovation Capital on Firm Values," HSE Working papers WP BRP 79/STI/2018, National Research University Higher School of Economics.
  9. Chen, Jiun-Lin & Glabadanidis, Paskalis & Sun, Mingwei, 2022. "The five-factor asset pricing model, short-term reversal, and ownership structure – the case of China," International Review of Financial Analysis, Elsevier, vol. 82(C).
  10. Masoud Rahiminezhad Galankashi & Farimah Mokhatab Rafiei & Maryam Ghezelbash, 2020. "Portfolio selection: a fuzzy-ANP approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-34, December.
  11. repec:jaf:journl:v:13:y:2022:i:1:n:441 is not listed on IDEAS
  12. Meng, Chen & Du, Qingjie & Shu, Haibing, 2024. "Return seasonalities in the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 85(C).
  13. Xu, Yanyan & Liu, Jing & Ma, Feng & Chu, Jielei, 2024. "Liquidity and realized volatility prediction in Chinese stock market: A time-varying transitional dynamic perspective," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 543-560.
  14. Vibhuti Vasishth & Sanjay Sehgal & Gagan Sharma, 2021. "Size Effect in Indian Equity Market: Myth or Reality?," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(1), pages 101-119, March.
  15. Li, Huixuan & Chen, Jing, 2022. "Does higher investments necessarily reduce stock returns?☆," Pacific-Basin Finance Journal, Elsevier, vol. 72(C).
  16. Hou, Yuting & Jin, Xiu, 2024. "Downside liquidity risk premium: From the perspective of higher moment," The North American Journal of Economics and Finance, Elsevier, vol. 69(PA).
  17. Sayyed Sadaqat Hussain Shah & Muhammad Asif Khan & Natanya Meyer & Daniel F. Meyer & Judit Oláh, 2019. "Does Herding Bias Drive the Firm Value? Evidence from the Chinese Equity Market," Sustainability, MDPI, vol. 11(20), pages 1-20, October.
  18. Fei, Tianlun & Liu, Xiaoquan, 2021. "Herding and market volatility," International Review of Financial Analysis, Elsevier, vol. 78(C).
  19. Wang, Shaoping & Yu, Lu & Zhao, Qing, 2021. "Do factor models explain stock returns when prices behave explosively? Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
  20. Roy, Preeti & Ahmad, Wasim & Sadorsky, Perry & Phani, B.V., 2022. "What do we know about the idiosyncratic risk of clean energy equities?," Energy Economics, Elsevier, vol. 112(C).
  21. Liu, Jun & Wu, Kai & Zhou, Ming, 2023. "News tone, investor sentiment, and liquidity premium," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 167-181.
  22. Fei, Tianlun & Liu, Xiaoquan & Wen, Conghua, 2019. "Cross-sectional return dispersion and volatility prediction," Pacific-Basin Finance Journal, Elsevier, vol. 58(C).
  23. Asheesh Pandey & Sanjay Sehgal, 2016. "Explaining Size Effect for Indian Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 23(1), pages 45-68, March.
  24. Ma, Rui & Anderson, Hamish D. & Marshall, Ben R., 2018. "Stock market liquidity and trading activity: Is China different?," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 32-51.
  25. Su, Zhi & Lyu, Tongtong & Yin, Libo, 2022. "China's illiquidity premium: Due to risk-taking or mispricing?," Pacific-Basin Finance Journal, Elsevier, vol. 76(C).
  26. Su, Zhi & Lyu, Tongtong & Yin, Libo, 2022. "Are conditional illiquidity risks priced in China? A cross-sectional test," International Review of Financial Analysis, Elsevier, vol. 81(C).
  27. Li, Huixuan & Chen, Jing & Zhang, Manling & Tang, Ya, 2025. "The role of capital expansion in stock evaluation: A variance decomposition approach," Journal of Economic Dynamics and Control, Elsevier, vol. 177(C).
  28. Yue, Tian & Huang, Jiexiang & Ruan, Xinfeng, 2024. "Comomentum in China: Inferring arbitrage activity from return correlation," Pacific-Basin Finance Journal, Elsevier, vol. 85(C).
  29. Jiang, Fuwei & Qi, Xinlin & Tang, Guohao, 2018. "Q-theory, mispricing, and profitability premium: Evidence from China," Journal of Banking & Finance, Elsevier, vol. 87(C), pages 135-149.
  30. Peng, Ya & Zhang, Xueyong, 2024. "Economic policy uncertainty in OFDI host countries and the cross-section of stock returns," Journal of International Money and Finance, Elsevier, vol. 149(C).
  31. Yin, Libo & Liao, Huiyi, 2021. "Big is brilliant: Understanding the Chinese size effect through profitability shocks," International Review of Financial Analysis, Elsevier, vol. 74(C).
  32. Zhou, Xuemei & Liu, Qiang & Guo, Shuxin, 2021. "Do overnight returns explain firm-specific investor sentiment in China?," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 451-477.
  33. Oi-Ping Chong & A.N. Bany-Ariffin & Annuar Md Nassir & Junaina Muhammad, 2019. "An Empirical Study of Herding Behaviour in China’s A-Share and B-Share Markets: Evidence of Bidirectional Herding Activities," Capital Markets Review, Malaysian Finance Association, vol. 27(2), pages 37-57.
  34. Guo, Bin & Zhang, Wei & Zhang, Yongjie & Zhang, Han, 2017. "The five-factor asset pricing model tests for the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 43(C), pages 84-106.
  35. Linnenluecke, Martina K. & Chen, Xiaoyan & Ling, Xin & Smith, Tom & Zhu, Yushu, 2016. "Emerging trends in Asia-Pacific finance research: A review of recent influential publications and a research agenda," Pacific-Basin Finance Journal, Elsevier, vol. 36(C), pages 66-76.
  36. David Blitz & Matthias X. Hanauer & Pim Vliet, 2021. "The Volatility Effect in China," Journal of Asset Management, Palgrave Macmillan, vol. 22(5), pages 338-349, September.
  37. Lanlan Liu & Dan Luo & Liang Han, 2019. "Default risk, state ownership and the cross-section of stock returns: evidence from China," Review of Quantitative Finance and Accounting, Springer, vol. 53(4), pages 933-966, November.
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