How Predictable is the Chinese Stock Market?

• 主要作者: JIANG, Fuwei
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2010
• 主題: return predictability; industries; size; book-to-market; rational asset pricing; information-flow frictions; Asian Studies; Portfolio and Security Analysis
• 在線閱讀: https://ink.library.smu.edu.sg/etd_coll/57; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1056&context=etd_coll

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...