Value premium as a predictor of stock returns in China.
In this report, we investigate whether value premium exists and its predictive power of stock returns in the Chinese stock markets. Using data from the China Stock Market & Accounting Research Database (CSMAR), we examined three proxies to identify value stocks : book-to- market (B/M), price-ear...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Language: | English |
| Published: |
2011
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/46458 |
| _version_ | 1826119317178023936 |
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| author | Wong, Nelson. Koh, Rachel Anne Rong Zhi. Wing, Ching How. |
| author2 | Sim Yong Huei |
| author_facet | Sim Yong Huei Wong, Nelson. Koh, Rachel Anne Rong Zhi. Wing, Ching How. |
| author_sort | Wong, Nelson. |
| collection | NTU |
| description | In this report, we investigate whether value premium exists and its predictive power of stock returns in the Chinese stock markets. Using data from the China Stock Market & Accounting Research Database (CSMAR), we examined three proxies to identify value stocks : book-to- market (B/M), price-earnings (P/E) and dividend yield (D/Y) ratios, and found that D/Y and B/M ratio do not predict stock returns in cross-sectional regressions. After removing D/Y from the portfolio formation, we found that value premium does exist in China stock markets and the magnitude of value premium increases with both portfolio holding periods and firm size. Notably, the value-premium effect is also more pronounced when we employ either the P/E or both the P/E and B/M ratio concurrently in the strategies instead of using only the B/M ratio. |
| first_indexed | 2024-10-01T04:58:16Z |
| format | Final Year Project (FYP) |
| id | ntu-10356/46458 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T04:58:16Z |
| publishDate | 2011 |
| record_format | dspace |
| spelling | ntu-10356/464582023-05-19T06:09:01Z Value premium as a predictor of stock returns in China. Wong, Nelson. Koh, Rachel Anne Rong Zhi. Wing, Ching How. Sim Yong Huei Nanyang Business School Associate Professor Chang Xin, Simba DRNTU::Business::Finance::Portfolio management In this report, we investigate whether value premium exists and its predictive power of stock returns in the Chinese stock markets. Using data from the China Stock Market & Accounting Research Database (CSMAR), we examined three proxies to identify value stocks : book-to- market (B/M), price-earnings (P/E) and dividend yield (D/Y) ratios, and found that D/Y and B/M ratio do not predict stock returns in cross-sectional regressions. After removing D/Y from the portfolio formation, we found that value premium does exist in China stock markets and the magnitude of value premium increases with both portfolio holding periods and firm size. Notably, the value-premium effect is also more pronounced when we employ either the P/E or both the P/E and B/M ratio concurrently in the strategies instead of using only the B/M ratio. BUSINESS 2011-12-06T04:04:59Z 2011-12-06T04:04:59Z 2012 2012 Final Year Project (FYP) http://hdl.handle.net/10356/46458 en Nanyang Technological University 59 p. application/pdf |
| spellingShingle | DRNTU::Business::Finance::Portfolio management Wong, Nelson. Koh, Rachel Anne Rong Zhi. Wing, Ching How. Value premium as a predictor of stock returns in China. |
| title | Value premium as a predictor of stock returns in China. |
| title_full | Value premium as a predictor of stock returns in China. |
| title_fullStr | Value premium as a predictor of stock returns in China. |
| title_full_unstemmed | Value premium as a predictor of stock returns in China. |
| title_short | Value premium as a predictor of stock returns in China. |
| title_sort | value premium as a predictor of stock returns in china |
| topic | DRNTU::Business::Finance::Portfolio management |
| url | http://hdl.handle.net/10356/46458 |
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