کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5063325 1476685 2009 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The “value” effect and the market for Chinese stocks
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری کسب و کار و مدیریت بین المللی
پیش نمایش صفحه اول مقاله
The “value” effect and the market for Chinese stocks
چکیده انگلیسی
A long literature in empirical finance has isolated both a “value” and a small-capitalization effect in asset pricing. This study confirms the existence of these “style” effects both in new types of equity indexes and in the stocks of Chinese companies traded in international markets. We then present a new nonparametric method of portfolio construction that enables investors to extract the predictive power of these style effects, without diluting their efficacy through an unintended weighting distribution that closely resembles capitalization weighting. We then develop a simple method to isolate periods where style tilts are likely to be particularly effective.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Emerging Markets Review - Volume 10, Issue 4, December 2009, Pages 227-241
نویسندگان
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