Size and price-to-book effects: Evidence from the Chinese stock markets

Jitka Hilliard and Haoran Zhang

Pacific-Basin Finance Journal, 2015, vol. 32, issue C, 40-55

Abstract: We examine the size and price-to-book effects in Chinese markets. We find strong evidence for the size effect but little evidence for the price-to-book effect. We further examine these effects in the context of the monetary policy of the People's Bank of China. We find that the size effect is stronger during the time of restrictive monetary policy. We attribute these results to specific characteristics of Chinese markets, such as potentially lower bankruptcy costs of partially state-owned enterprises.

Keywords: Size effect; Price-to-book ratio effect; Herding behavior; Chinese stock markets; Conditional asset pricing (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (34)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:32:y:2015:i:c:p:40-55

DOI: 10.1016/j.pacfin.2015.02.003

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