The "value" effect and the market for Chinese stocks

Burton Malkiel and Derek Jun

Emerging Markets Review, 2009, vol. 10, issue 4, 227-241

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: Asset; pricing; International; financial; market (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:10:y:2009:i:4:p:227-241

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