Size and value in China

Liu Jianan; Stambaugh Robert F.; Yuan Yu

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Size and value in China

机译：中国的规模和价值

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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.

机译：我们在中国构建规模和价值因素。规模因素不包括最小的30％的公司，这些公司的价值被视作规避严格的IPO限制的反向合并的潜在手段。价值因素是基于市盈率的，该市盈率包含了所有中国价值效应的账面市值比。我们的三因素模型在很大程度上只是通过在中国复制Fama and French（1993）程序而形成的模型。与那种将收益/价格因素的年度平均值设为17％的模型不同，我们的模型解释了大多数报告的中国异常情况，包括盈利能力和波动率异常情况。（C）2019作者。由Elsevier B.V.发布

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来源
《Journal of financial economics》 |2019年第1期|48-69|共22页
作者
Liu Jianan; Stambaugh Robert F.; Yuan Yu;
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作者单位

Univ Penn Wharton Sch 3620 Locust Walk Philadelphia PA 19104 USA;

Univ Penn Wharton Sch 3620 Locust Walk Philadelphia PA 19104 USA|NBER Cambridge MA 02138 USA;

Shanghai Mingshi Investment Co Ltd 2101 Taiping Finance Tower 488 Middle Yincheng Rd Shanghai 200120 Peoples R China|Univ Penn Wharton Financial Inst Ctr Philadelphia PA 19104 USA;

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原文格式 PDF
正文语种 eng
中图分类
关键词
China; Size; Value; Factors; Anomalies;

机译：中国;尺寸;值;因素;异常现象;

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Size and value in China

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