自从Fama French提出三因子模型以来,A股市场对其本土化就在不停进行中,最过出名的就是Liu等人(2019)发表于JFE上的Size and Value in China。这篇文章提出了A股市场的“壳价值”污染问题,小市值股票在A股市场上存在被借壳上市的可能,因此市值因子有所夸大,因此他们删除了A股市值最小的30%部分; 另一方面,Liu等人通过...
2019年,Liu, Stambaugh and Yuan 等人在金融学顶刊《Journal of Financial Economics》上发表了名为《Size and value in China》的论文。这篇论文一经发表,便吸引了无数学者和业内人士的关注。当年正是我学习资产定价的第一年,在导师的指导下,复现这篇论文也算是我真正接触资产定价的第二步(第一步是阅读了Bali...
Size and Value in ChinaWe construct size and value factors in China. The size factor excludes the smallest 30% of firms, which are companies valued significantly as potential shells iLiu, JiananStambaugh, Robert F.Yuan, YuSocial Science Electronic Publishing...
Size and Value in Chinaby *Jianan Liu, Robert F. Stambaugh, and Yu YuanFirst Draft: January 24, 2018This version: September 10, 2018forthcoming, Journal of Financial EconomicsAbstractWe construct size and value factors in China. The size factor excludes the smallest 30% off i rms, which ...
Size and value in China_Jianan Liu 下载积分: 1500 内容提示: Accepted ManuscriptSize and Value in ChinaJianan Liu, Robert F. Stambaugh, Yu YuanPII: S0304-405X(19)30062-5DOI: https://doi.org/10.1016/j.jf i neco.2019.03.008Reference: FINEC 3036To appear in: Journal of Financial ...
The Influence of Size and Value Factors on Corporate Bond Spread Yields in China The existences of size premium and value premium in stock markets have been well studied. However, these studies mostly focus on U.S. market and have been ... J Huang - 《Engineering Letters》 被引量: 0发表...
We investigate the size and value factors in the cross-section of returns for the Chinese stock market. We find a significant size effect but no robust value effect. A zero-cost small-minus-big (SMB) portfolio earns an average premium of 0.61% per month, which is statistically significant ...
With the gradual relaxation of capital controls and internationalization of the RMB, the Chinese A-share market has garnered significant interest from international investors over the past few years, as has factor investing, though risk-premium strategies have been growing in popularity. In this artic...
The China Satellite Communication Market is segmented By Type (Ground Equipment, Service), By Platform (Portable, Land, Maritime, Airborne), End-user Vertical (Maritime, Defense and Government, Enterprises, Media, and Entertainment). The market sizes and forecasts are provided in terms of value (...
China Electric Vehicles Market Analysis The China Electric Vehicles Market size is estimated at USD 305.57 billion in 2024, and is expected to reach USD 674.27 billion by 2029, growing at a CAGR of 17.15% during the forecast period (2024-2029). ...