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

19 Pages Posted: 13 Oct 2015 Last revised: 6 Nov 2016

See all articles by Kin-Yip Ho

Kin-Yip Ho

The Australian National University - School of Finance, Actuarial Studies and Applied Statistics, College of Business and Economics

Jiyoun An

Kyung Hee University

Lanyue Zhou

University of International Business and Economics (UIBE)

Date Written: September 30, 2015

Abstract

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.

Keywords: Book-to-Market Anomaly, Chinese Stock Markets, Empirical Asset Pricing, Value Premium, Investor Sophistication

JEL Classification: F38, G12, G15

Suggested Citation

Ho, Kin-Yip and An, Jiyoun and Zhou, Lanyue, The Book-to-Market Anomaly in the Chinese Stock Markets (September 30, 2015). Journal of East Asian Economic Integration Vol. 19, No. 3 (September 2015) 223-241, Available at SSRN: https://ssrn.com/abstract=2673423

Kin-Yip Ho (Contact Author)

The Australian National University - School of Finance, Actuarial Studies and Applied Statistics, College of Business and Economics ( email )

Canberra, Australian Capital Territory 0200
Australia

Jiyoun An

Kyung Hee University ( email )

1732 Deogyeong-daero
Giheung-gu
Yongin-si, Gyeonggi-do, Gyeonggi-Do 446-701
Korea, Republic of (South Korea)

HOME PAGE: http://kic.khu.ac.kr/

Lanyue Zhou

University of International Business and Economics (UIBE) ( email )

10 Huixin Dongjie
Chaoyang District
Beijing, 100029
China

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
139
Abstract Views
991
rank
229,295
PlumX Metrics