How Predictable is the Chinese Stock Market?

• المؤلفون الرئيسيون: JIANG, Fuwei, TU, Jun, RAPACH, David, STRAUSS, Jack K., ZHOU, Guofu
• التنسيق: text
• اللغة: Chinese
• منشور في: Institutional Knowledge at Singapore Management University 2011
• الموضوعات: Component Portfolios; In-Sample Return Predictability; Out-of-Sample Return Predictability; Conditional CAPM; Information-Flow Frictions; International Economics
• الوصول للمادة أونلاين: 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

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,...