Value premium as a predictor of stock returns in China.

• Main Authors: Wong, Nelson., Koh, Rachel Anne Rong Zhi., Wing, Ching How.
• Other Authors: Sim Yong Huei
• Format: Final Year Project
• Language: English
• Published: 2011
• Subjects: DRNTU::Business::Finance::Portfolio management
• Online Access: http://hdl.handle.net/10356/46458
• Institution: Nanyang Technological University

In this report, we investigate whether value premium exists and its predictive power of stock returns in the Chinese stock markets. Using data from the China Stock Market & Accounting Research Database (CSMAR), we examined three proxies to identify value stocks : book-to- market (B/M), price-ear...