This study applied the Fama-French three-factor model (1993) and CAPM to examine A-shares in Chinese equity market from 1996 to 2005. The authors find a positive relation between book-to-market ratio and stock excess returns, and negative between size and stock excess returns. The results...

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...

Predicting stock market crashes and corrections is a focus of interest for both researchers and practitioners. Several prediction models have been developed, mostly on mature financial markets. In this paper, we investigate whether fundamental crash predictors, the price-to-earnings ratio, the...

This paper examines the association between abnormally long audit report lag and future stock price crash. Audit report lag is defined as the period between a company's fiscal year end and the audit report date, and is informative about audit efficiency. Although a substantial body of literature...

This paper uses a difference-in-difference methodology to tackle the identification issue in estimating price limits' impacts on market efficiency. Examining the Special Treatment policy in China, I show that 5-basis-point tightening in daily price limits (from ± 10% to ± 5%) significantly...

We investigate the impact of short selling and margin trading on measures of price efficiency, characteristics of stock returns distributions, and price clustering in the Chinese equity market. Short selling and margin trading was permitted on selected stocks from March 31, 2010 and was...

This paper provides a measurement of framing effects in the stock market by using actual market open trading data, and provide a test of this new firm-special behavioral characteristic. We adopt univariate and bivariate portfolio-level analyses with seminal rational and behavioral factors, to...

We propose a behavioral dividend clientele view to explain a unique “ex-dividend day” anomaly on the Chinese stock market. In particular, we find that on the ex-dividend day, the average CAPM-adjusted stock return is significantly below zero and the average trading volume significantly...

Based on three behavioural biases: overconfidence; disposition effect and herding, we construct three behavioural factors for China stock market. Compared with traditional factors, behavioural factors are able to provide incremental explanation ability and predictability of portfolio returns. To...