Empirical tests of the float-adjusted return model

Feng Zhang, Yao Tian and Tony Wirjanto ()

Finance Research Letters, 2009, vol. 6, issue 4, 219-229

Abstract: This paper implements empirical tests of the recently proposed float-adjusted return model by using Chinese stock-market data. The results show that variation in free float can explain cross-sectional variation in asset returns by about 6.7% annually, after we control for market risk, size, and book-to-market equity. In addition, we also find that size and book-to-market equity help explain cross-sectional variations in returns even after controlling for free float.

Keywords: Chinese; stock; market; Free; float; Liquidity; Stock; returns (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:6:y:2009:i:4:p:219-229

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