Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5069963 | Finance Research Letters | 2009 | 11 Pages |
Abstract
This paper implements empirical tests of the recently proposed float-adjusted return model by using Chinese stock-market data. The results show that variation in free float can explain cross-sectional variation in asset returns by about 6.7% annually, after we control for market risk, size, and book-to-market equity. In addition, we also find that size and book-to-market equity help explain cross-sectional variations in returns even after controlling for free float.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Feng Zhang, Yao Tian, Tony S. Wirjanto,