期刊論文
| 學年 | 103 |
|---|---|
| 學期 | 2 |
| 出版（發表）日期 | 2015-07-07 |
| 作品名稱 | Constructing a Multifactor Model for the Shanghai Stock Exchange |
| 作品名稱（其他語言） | |
| 著者 | Chen, Hsin-Hung; Ku, Kuang-Ping; Lee, Hsiu-Yu |
| 單位 | |
| 出版者 | |
| 著錄名稱、卷期、頁數 | Emerging Markets Finance and Trade 51(4), p.S51-S67 |
| 摘要 | We examine the validity of five factor models for explaining the time-series and cross-sectional variations in stock returns in the Shanghai Stock Exchange. The factor models include four models proposed by previous literature. Moreover, we propose a four-factor model (comprising market, size, book-to-market, and sales-to-price factors) to explain variations of stock returns in the Shanghai Stock Exchange. The results show that the Shanghai stock market exhibits size, book-to-market, and sales-to-price effects. Both the adjusted coefficient of determination and regression model intercepts indicate that the proposed four-factor model explains variations of stock returns in the Shanghai Stock Exchange more effectively in comparison with other multifactor models. |
| 關鍵字 | book-to-market;four-factor model;price momentum;sales-to-price;size effect |
| 語言 | en_US |
| ISSN | 1558-0938 |
| 期刊性質 | 國外 |
| 收錄於 | SSCI |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 是 |
| 國別 | USA |
| 公開徵稿 | |
| 出版型式 | ,電子版,紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/104721 ) |