Drew, Michael E.; Naughton, Tony; Veeraraghavan, Madhu - School of Economics and Finance, Business School - 2003
pricing in one of the most challenging international markets, the Shanghai Stock Exchange, China. Firstly, we seek to … determine whether size and value premia exist in China. Secondly, we address the challenge that size and value premia are …-variance efficient investors in China can select some combination of small and low book-to-market equity firms in addition to the market …