The book-to-market anomaly in the chinese stock markets

Kin-Yip Ho, Jiyoun An, Lanyue Zhou

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.

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Year of publication:	September 2015
Authors:	Ho, Kin-Yip ; An, Jiyoun ; Zhou, Lanyue
Published in:	Journal of East Asian economic integration. - Seoul : [Verlag nicht ermittelbar], ISSN 2287-8793, ZDB-ID 2718098-0. - Vol. 19.2015, 3, p. 223-241
Subject:	Book-to-Market Anomaly \| Chinese Stock Markets \| Empirical Asset Pricing \| Value Premium \| Investor Sophistication \| Aktienmarkt \| Stock market \| China \| Kapitaleinkommen \| Capital income \| CAPM \| Anlageverhalten \| Behavioural finance \| Risikoprämie \| Risk premium

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Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.11644/KIEP.JEAI.2015.19.3.297 [DOI] hdl:11159/450 [Handle]
Classification:	f38 ; G12 - Asset Pricing ; G15 - International Financial Markets
Source:	ECONIS - Online Catalogue of the ZBW

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