Decomposing the value premium: The role of intangible information in the Chinese stock market

Kin-Yip Ho and Jiyoun An

Emerging Markets Review, 2020, vol. 44, issue C

Abstract: Compared with other developed stock markets, the Chinese stock market has a unique informational and trading environment. Given this unique environment, we find that intangible information (which is orthogonal to past accounting information) and arbitrage risk are potential sources of the value premium. In particular, our single and multivariate decomposition analyses suggest that intangible information directly contributes at least 40% to the value premium over a one-year investment horizon. Further, idiosyncratic volatility, a proxy for arbitrage risk, also influences the value premium. However, its contribution becomes insignificant once we account for the impact of intangible information on idiosyncratic volatility. Overall, our findings indicate that intangible information, which is unrelated to the firm's “fundamental” accounting-based performance measures, is the key driver of the value effects in the Chinese stock market.

Keywords: Chinese stock market; Value premium; Intangible information; Arbitrage risk (search for similar items in EconPapers)
JEL-codes: G12 G15 M41 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1566014117304806
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:44:y:2020:i:c:s1566014117304806

DOI: 10.1016/j.ememar.2020.100700

Access Statistics for this article

Emerging Markets Review is currently edited by Jonathan A. Batten

More articles in Emerging Markets Review from Elsevier
Bibliographic data for series maintained by Catherine Liu ().