How Predictable Is the Chinese Stock Market?

How Predictable Is the Chinese Stock Market?

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...

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Bibliographic Details
Main Authors: JIANG, Fuwei, RAPACH, David E., STRAUSS, Jack K., TU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2010
Subjects:
Return predictability
Industries
Size
Book-to-market
Rational asset pricing
Information-flow frictions
Asian Studies
Finance and Financial Management
Portfolio and Security Analysis
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/3192
https://ink.library.smu.edu.sg/context/lkcsb_research/article/4191/viewcontent/2009_Fuwei_Jiang_Chinese_stock_market_predictable_wp.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/lkcsb_research/3192
https://ink.library.smu.edu.sg/context/lkcsb_research/article/4191/viewcontent/2009_Fuwei_Jiang_Chinese_stock_market_predictable_wp.pdf

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