How Predictable is the Chinese Stock Market?

• المؤلف الرئيسي: JIANG, Fuwei
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2010
• الموضوعات: return predictability; industries; size; book-to-market; rational asset pricing; information-flow frictions; Asian Studies; Portfolio and Security Analysis
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/etd_coll/57; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1056&context=etd_coll
• المؤسسة: Singapore Management University

We analyze return predictability for the Chinese stock market, including the aggregate market portfolio and the components of the aggregate market, such as portfolios sorted on industry, size, book-to-market and ownership concentration. Considering a variety of economic variables as predictors, both...