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http://ssrn.com/abstract=972685
 
 

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On the Predictability of Chinese Stock Returns


Xuanjuan Chen


Shanghai University of Finance and Economics

Kenneth Kim


SUNY at Buffalo - School of Management

Tong Yao


University of Iowa - Henry B. Tippie College of Business

Tong Yu


University of Rhode Island - College of Business Administration

April 15, 2010


Abstract:     
We examine stock return predictability in China. We take 18 firm-specific variables that have been documented to predict cross-sectional stock returns in the U.S. and examine their relation with stock returns in China for the sample period from 1995 to 2007. We find relatively weak predictability for Chinese stocks. Only five firm-specific variables predict returns in the Chinese market. Tests on U.S. stock returns find more predictors can explain cross-sectional stock return variation. We test two explanations for the cause of weak returns predictability in China. First, perhaps return predictors in China are less heterogeneously distributed than they are in the U.S. Second, stock prices are less informative in China than they are in the U.S. We find support for both explanations.

Number of Pages in PDF File: 39

Keywords: anomalies, return predictability, emerging markets, China

JEL Classification: G15

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Date posted: March 22, 2007 ; Last revised: December 3, 2010

Suggested Citation

Chen, Xuanjuan and Kim, Kenneth and Yao, Tong and Yu, Tong, On the Predictability of Chinese Stock Returns (April 15, 2010). Available at SSRN: http://ssrn.com/abstract=972685 or http://dx.doi.org/10.2139/ssrn.972685

Contact Information

Xuanjuan Chen (Contact Author)
Shanghai University of Finance and Economics ( email )
777 Guoding Road
Shanghai, Shanghai 200433
China
Kenneth A. Kim
SUNY at Buffalo - School of Management ( email )
Jacobs Management Center
Buffalo, NY 14222
United States
Tong Yao
University of Iowa - Henry B. Tippie College of Business ( email )
108 Pappajohn Business Building
Iowa City, IA 52242-1000
United States
Tong Yu
University of Rhode Island - College of Business Administration ( email )
Kingston, RI 02881
United States
(401) 874-7415 (Phone)
(401) 874-4312 (Fax)
HOME PAGE: http://www.cba.uri.edu/tong
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