The Book-to-Market Anomaly in the Chinese Stock Markets

Kin-Yip Ho (), Jiyoun An and Lanyue Zhou ()
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Kin-Yip Ho: The Australian National University
Lanyue Zhou: University of International Business and Economics

East Asian Economic Review, 2015, vol. 19, issue 3, 223-241

Abstract: This paper examines the existence of value premium in the Chinese stock markets and empirically provides its explanation. Our results suggest that the value premium does exist in the Chinese markets, and investor sophistication is significant in explaining its existence. In particular, there is supporting evidence that the value premium could be driven by individual investors, whereas stocks that are mostly held by institutional investors are value-premium free. We briefly discuss the implications of our findings.

Keywords: Book-to-Market Anomaly; Chinese Stock Markets; Empirical Asset Pricing; Value Premium; Investor Sophistication (search for similar items in EconPapers)
JEL-codes: F38 G12 G15 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:ris:eaerev:0022

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