An Empirical Cross-Section Analysis of Stock Returns on the Chinese A-Share Stock Market

Investment Management and Financial Innovations, 10(1), 127-136.

Posted: 8 Feb 2017

See all articles by Christopher Gan

Christopher Gan

Lincoln University (NZ)

Baiding Hu

Lincoln University (NZ)

Zhaohua Li

Lincoln University (NZ) - Commerce

Date Written: 2013

Abstract

This study applied the Fama-French three-factor model (1993) and CAPM to examine A-shares in Chinese equity market from 1996 to 2005. The authors find a positive relation between book-to-market ratio and stock excess returns, and negative between size and stock excess returns. The results demonstrate that the Fama-French three-factor model is more accurate in predicting stock excess returns than the CAPM. The size effect is stronger than that of the book-to-market ratio (BTM). The results also suggest that stock profitability is related to size and BTM ratio in China’s stock market.

Keywords: asset pricing, cross-section analysis, three-factor model, firm size, book-to-market, Chinese A-share

JEL Classification: G10, G11, G12

Suggested Citation

Gan, Christopher and Hu, Baiding and Li, Zhaohua, An Empirical Cross-Section Analysis of Stock Returns on the Chinese A-Share Stock Market (2013). Investment Management and Financial Innovations, 10(1), 127-136., Available at SSRN: https://ssrn.com/abstract=2912539

Christopher Gan

Lincoln University (NZ) ( email )

PO Box 85084
Ellesmere Junction Road/Springs Road
Lincoln, 7647
New Zealand

Baiding Hu

Lincoln University (NZ) ( email )

PO Box 85084
Ellesmere Junction Road/Springs Road
Lincoln, 7647
New Zealand

Zhaohua Li (Contact Author)

Lincoln University (NZ) - Commerce ( email )

Faculty of Agribusiness and Commerce
Lincoln University
Lincoln, Canterbury 7647
New Zealand

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