We investigate the investability of commodity risk premia in China. Previously documented standard momentum, carry and basis-momentum factors are not investable due to the unique liquidity patterns along the futures curves in China. However, dynamic rolling and strategic portfolio weights...

In this paper we compare the performance of the traditional CAPM with the multifactor 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 multifactor model findings...

Capital market theory is concerned with the equilibrium relationship between risk and expected return on financial claims. Within this framework, this paper seeks to extend the mounting evidence against the view that the beta coefficient of the Capital Asset Pricing Model is the sole measure of...