The Value Effect and the Market For Chinese Stocks

Burton Malkiel and Derek Jun
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Burton Malkiel: Princeton University
Derek Jun: Old Square Capital Advisors

No 1177, Working Papers from Princeton University, Department of Economics, Center for Economic Policy Studies.

Abstract: A long literature in empirical finance has isolated both a value and a small-capitalization effect in asset pricing. This study confirms the existence of these style effects both in new types of equity indexes and in the stocks of Chinese companies traded in international markets. We then present a new nonparametric method of portfolio construction that enables investors to extract the predictive power of these style effects, without diluting their efficacy through an unintended weighting distribution that closely resembles capitalization weighting. We then develop a simple method to isolate periods where style tilts are likely to be particularly effective.

Keywords: China; stock market; capitalization; stock portolios; equity index (search for similar items in EconPapers)
JEL-codes: G10 G12 G32 H32 O53 (search for similar items in EconPapers)
Date: 2009-07
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Persistent link: https://EconPapers.repec.org/RePEc:pri:cepsud:188

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