We obtain a unique dataset to examine the effect of the Shanghai-Hong Kong Stock Connect program, which allows foreign investors from Hong Kong to buy stocks listed in Shanghai (northbound) and domestic investors from mainland China to buy stocks listed in Hong Kong (southbound). There is a...

Cross-sectional stock return predictability has always been an intriguing issue for the researchers as it relates to a number of resilient puzzles in finance. This paper provides a comprehensive analysis on the stock return predictability in China form January 1994 to March 2011 by employing...

We investigate whether macroeconomics factors price Chinese stock returns. We find that GDP growth and momentum factor demand negative pricing premiums after controlling for market, value and size factors. The negative pricing of GDP growth is robust after controlling for momentum factor, the...