Lam, Keith; Dong, Liang; Yu, Bo - In: Economies : open access journal 7 (2019) 3/92, pp. 1-21
We find value premium in the Chinese stock market using a conventional buy-and-hold approach which longs the portfolio with the highest BM ratio and shorts the one with the lowest BM ratio. Based on the finding, we test a new strategy by combining the value premium effect and technical analysis....
