This paper investigates the factors which capture the cross-sectional variation in average monthly stock returns on Chinese main board A-share market from 1999 to 2010. Using univariate sorting test, univariate and multivariate cross-sectional regressions methods, we fail to find any relationship between beta and stock returns. However, our empirical result shows that there is no size effect but negative BE/ME (book-to-market equity) effect in Chinese stock market, which is different from the results of most previous researches on Chinese stock market. Additionally, liquidity in our test has the strongest power to explain the stock returns which very few researchers have ever found. Finally, we find no relationship between stock returns and E/P (earning-to-price ratio), C/P (cash flow-to-price ratio), D/P (debt-to-price ratio).
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