Show simple item record

dc.contributor.authorDrew, ME
dc.contributor.authorNaughton, T
dc.contributor.authorVeeraragavan, M
dc.date.accessioned2017-05-03T15:39:12Z
dc.date.available2017-05-03T15:39:12Z
dc.date.issued2005
dc.date.modified2010-02-24T06:26:35Z
dc.identifier.issn0307-4358
dc.identifier.doi10.1108/03074350510770017
dc.identifier.urihttp://hdl.handle.net/10072/28912
dc.description.abstractIn this article we compare the performance of the traditional CAPM with the multi factor model of Fama and French (1996) for equities listed in the Shanghai Stock Exchange. We also investigate the explanatory power of idiosyncratic volatility and respond to the claim that multi factor model findings can be explained by the turn of the year effect. Our results show that firm size, book to market equity and idiosyncratic volatility are priced risk factors in addition to the theoretically well specified market factor. As far as the turn of the year effect is concerned we reject the claim that the findings are driven by seasonal factors.
dc.description.peerreviewedYes
dc.description.publicationstatusYes
dc.languageEnglish
dc.language.isoeng
dc.publisherEmerald Group Publishing Limited
dc.publisher.placeBradford, England
dc.relation.ispartofstudentpublicationN
dc.relation.ispartofpagefrom46
dc.relation.ispartofpageto57
dc.relation.ispartofissue12
dc.relation.ispartofjournalManagerial Finance
dc.relation.ispartofvolume31
dc.rights.retentionY
dc.subject.fieldofresearchBanking, finance and investment
dc.subject.fieldofresearchBanking, finance and investment not elsewhere classified
dc.subject.fieldofresearchcode3502
dc.subject.fieldofresearchcode350299
dc.titlePricing of Equities in China: Evidence from the Shanghai Stock Exchange
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.date.issued2005
gro.hasfulltextNo Full Text
gro.griffith.authorDrew, Michael E.


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

  • Journal articles
    Contains articles published by Griffith authors in scholarly journals.

Show simple item record