Yu Yuan
Shanghai Mingshi Investment Company
488 M Yincheng Road
Shanghai
China
University of Pennsylvania - Wharton Financial Institutions Center
Fellow
3733 Spruce Street
Philadelphia, PA 19104-6374
United States
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Ideas:
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Size and Value in China
We construct size and value factors in China. The size factor excludes the smallest 30% of firms, which are companies valued significantly as potential shells in reverse mergers that circumvent tight IPO constraints. The value factor is based on the earnings-price ratio, which subsumes the book-to-market ratio in capturing all Chinese value effects. Our three-factor model strongly dominates a model formed by just replicating the Fama and French (1993) procedure in China. Unlike that model, which leaves a 17% annual alpha on the earnings-price factor, our model explains most reported Chinese anomalies, including profitability and volatility anomalies.
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