How Predictable is the Chinese Stock Market?
We analyze return predictability for the Chinese stock market index and its components sorted on industry, size, book-to-market and ownership concentration, with both in-sample and out-of-sample tests. We find significant predictability. Among industry portfolios, Finance and insurance, Real estate,...
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| Main Authors: | , , , , |
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| Format: | text |
| Language: | Chinese |
| Published: |
Institutional Knowledge at Singapore Management University
2011
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/3146 https://ink.library.smu.edu.sg/context/lkcsb_research/article/4145/viewcontent/PredChina_2011_Chinese.pdf |
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| Institution: | Singapore Management University |
| Language: | Chinese |