Pricing of equities in China: Evidence from the Shanghai Stock Exchange

Naughton, A, Drew, M and Veeraraghavan, M 2005, 'Pricing of equities in China: Evidence from the Shanghai Stock Exchange', Managerial Finance, vol. 31, no. 12, pp. 46-57.


Document type: Journal Article
Collection: Journal Articles

Title Pricing of equities in China: Evidence from the Shanghai Stock Exchange
Author(s) Naughton, A
Drew, M
Veeraraghavan, M
Year 2005
Journal name Managerial Finance
Volume number 31
Issue number 12
Start page 46
End page 57
Total pages 11
Publisher Barmarick Publications
Abstract In this article we compare the performance of the traditional CAPM with the multi factor model of Fama and French (1996) for equities listed in the Shanghai Stock Exchange. We also investigate the explanatory power of idiosyncratic volatility and respond to the claim that multi factor model findings can be explained by the turn of the year effect. Our results show that firm size, book to market equity and idiosyncratic volatility are priced risk factors in addition to the theoretically well specified market factor. As far as the turn of the year effect is concerned we reject the claim that the findings are driven by seasonal factors.
Subject Finance
DOI - identifier 10.1108/03074350510770017
Copyright notice © Emerald Group Publishing Limited
ISSN 0307-4358
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