Please use this identifier to cite or link to this item:
Title: Value premium as a predictor of stock returns in China.
Authors: Wong, Nelson.
Koh, Rachel Anne Rong Zhi.
Wing, Ching How.
Keywords: DRNTU::Business::Finance::Portfolio management
Issue Date: 2012
Abstract: 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.
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:NBS Student Reports (FYP/IA/PA/PI)

Files in This Item:
File Description SizeFormat 
  Restricted Access
548.84 kBAdobe PDFView/Open

Page view(s) 50

checked on Oct 20, 2020

Download(s) 50

checked on Oct 20, 2020

Google ScholarTM


Items in DR-NTU are protected by copyright, with all rights reserved, unless otherwise indicated.