dc.contributor.author | Drew, ME | |
dc.contributor.author | Naughton, T | |
dc.contributor.author | Veeraragavan, M | |
dc.date.accessioned | 2017-05-03T15:39:12Z | |
dc.date.available | 2017-05-03T15:39:12Z | |
dc.date.issued | 2005 | |
dc.date.modified | 2010-02-24T06:26:35Z | |
dc.identifier.issn | 0307-4358 | |
dc.identifier.doi | 10.1108/03074350510770017 | |
dc.identifier.uri | http://hdl.handle.net/10072/28912 | |
dc.description.abstract | In 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.peerreviewed | Yes | |
dc.description.publicationstatus | Yes | |
dc.language | English | |
dc.language.iso | eng | |
dc.publisher | Emerald Group Publishing Limited | |
dc.publisher.place | Bradford, England | |
dc.relation.ispartofstudentpublication | N | |
dc.relation.ispartofpagefrom | 46 | |
dc.relation.ispartofpageto | 57 | |
dc.relation.ispartofissue | 12 | |
dc.relation.ispartofjournal | Managerial Finance | |
dc.relation.ispartofvolume | 31 | |
dc.rights.retention | Y | |
dc.subject.fieldofresearch | Banking, finance and investment | |
dc.subject.fieldofresearch | Banking, finance and investment not elsewhere classified | |
dc.subject.fieldofresearchcode | 3502 | |
dc.subject.fieldofresearchcode | 350299 | |
dc.title | Pricing of Equities in China: Evidence from the Shanghai Stock Exchange | |
dc.type | Journal article | |
dc.type.description | C1 - Articles | |
dc.type.code | C - Journal Articles | |
gro.date.issued | 2005 | |
gro.hasfulltext | No Full Text | |
gro.griffith.author | Drew, Michael E. | |