Value premium as a predictor of stock returns in China.

• المؤلفون الرئيسيون: Wong, Nelson., Koh, Rachel Anne Rong Zhi., Wing, Ching How.
• مؤلفون آخرون: Sim Yong Huei
• التنسيق: Final Year Project
• اللغة: English
• منشور في: 2011
• الموضوعات: DRNTU::Business::Finance::Portfolio management
• الوصول للمادة أونلاين: http://hdl.handle.net/10356/46458
• المؤسسة: 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...