The Cross-Section of Stock Returns on The Shanghai Stock Exchange

Kie Wong (), Ruth Tan () and Wei Liu ()

Review of Quantitative Finance and Accounting, 2006, vol. 26, issue 1, 23-39

Abstract: This study explores the cross-sectional stock return behavior on the A-share market of the Shanghai Stock Exchange (SSE), which is segmented from world's other equity markets. We estimate the effects of beta, firm size, book-to-market equity ratio and a variable unique to the Chinese stock markets, the proportion of firm's floating (tradable) equity over total equity on SSE stocks over the period 1993–2002. We find that smaller firms and value stocks perform better. Systematic risk is negatively significant in down markets. The proportion of floating equity has no direct effect on stock returns. Copyright Springer Science + Business Media, Inc. 2006

Keywords: stock market; cross-sectional analysis; China (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (13)

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DOI: 10.1007/s11156-006-7031-4

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