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dc.contributor.authorDrew, ME
dc.contributor.authorNaughton, T
dc.contributor.authorVeeraraghavan, M
dc.date.accessioned2017-05-03T15:39:11Z
dc.date.available2017-05-03T15:39:11Z
dc.date.issued2003
dc.date.modified2010-07-19T04:41:54Z
dc.identifier.issn0312-8962
dc.identifier.doi10.1177/031289620302800201
dc.identifier.urihttp://hdl.handle.net/10072/32367
dc.description.abstractCapital market theory is concerned with the equilibrium relationship between risk and expected return on risky assets. Within this framework, this paper seeks to extend the mounting evidence against the view that the beta coefficient of the Capital Asset Pricing Model is the sole measure of risk. In this paper we test the multifactor approach to asset pricing in one of the most challenging international markets, the Shanghai Stock Exchange, China. Firstly, we seek to determine whether the size and value premia exists in China. Secondly, we address the challenge that size and value premia are largely determined by seasonal factors (such as the January and/or Chinese New Year effect). Our findings suggest that mean-variance efficient investors in China can select some combination of small and low book-to-market equity firms in addition to the market portfolio to generate superior risk-adjusted returns. Moreover, we find no evidence to support the view that seasonal effects explain the findings of the multifactor model. In summary, we find the market factor alone is not sufficient to describe the cross-section of average stock returns in China.
dc.description.peerreviewedYes
dc.description.publicationstatusYes
dc.languageEnglish
dc.language.isoen_AU
dc.publisherAustralian Graduate School of Management
dc.publisher.placeAustralia
dc.relation.ispartofpagefrom119
dc.relation.ispartofpageto139
dc.relation.ispartofissue2
dc.relation.ispartofjournalAustralian Journal of Management
dc.relation.ispartofvolume28
dc.subject.fieldofresearchBusiness and Management not elsewhere classified
dc.subject.fieldofresearchCommerce, Management, Tourism and Services
dc.subject.fieldofresearchcode150399
dc.subject.fieldofresearchcode15
dc.titleFirm Size, Book-to-Market Equity and Security Returns: Evidence from the Shanghai Stock Exchange
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.date.issued2003
gro.hasfulltextNo Full Text
gro.griffith.authorDrew, Michael E.
gro.griffith.authorVeeraraghavan, Madhu


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