How Predictable Is the Chinese Stock Market?

• 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
• Institution: 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...