Size and value in China

• 成果类型: Article
• 署名作者: Liu, Jianan; Stambaugh, Robert F.; Yuan, Yu
• 署名单位: University of Pennsylvania; University of Pennsylvania; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2019.03.008
• 发表日期: 2019
• 页码: 48-69
• 关键词: china; size; Value; Factors; anomalies

摘要

We construct size and value factors in China. The size factor excludes the smallest 30% of firms, which are companies valued significantly as potential shells in reverse mergers that circumvent tight IPO constraints. The value factor is based on the earnings-price ratio, which subsumes the book-to-market ratio in capturing all Chinese value effects. Our three-factor model strongly dominates a model formed by just replicating the Fama and French (1993) procedure in China. Unlike that model, which leaves a 17% annual alpha on the earnings-price factor, our model explains most reported Chinese anomalies, including profitability and volatility anomalies. (C) 2019 The Authors. Published by Elsevier B.V.