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dc.contributor.authorLin, Yu En
dc.contributor.authorChu, Chien Chi
dc.contributor.authorOmura, Akihiro
dc.contributor.authorLi, Bin
dc.contributor.authorRoca, Eduardo
dc.date.accessioned2019-08-28T04:25:29Z
dc.date.available2019-08-28T04:25:29Z
dc.date.issued2019
dc.identifier.issn1566-0141
dc.identifier.doi10.1016/j.ememar.2019.03.007
dc.identifier.urihttp://hdl.handle.net/10072/386741
dc.description.abstractWe demonstrate that arbitrage risk, constructed using three measures — noise trader risk, trading cost and information uncertainty — can predict the return of stocks cross-sectionally in China. The findings are broadly consistent even when out-of-sample tests are conducted using the Fama-MacBeth cross-sectional regression approach. We also construct hypothetical portfolios using the information arising from arbitrage risk and find the existence of abnormal returns which is robust to the use of various portfolios constructed by re-sampling the observations through multiple approaches (e.g., by market capitalization and by book-to-market ratio). Lastly, we reconstruct our portfolios by considering the unique nature of the Chinese stock market (e.g., the dominance of individual investors). Our trading strategies again successfully obtain abnormal returns, suggesting that arbitrage risk can be useful to construct effective investment portfolios in China.
dc.description.peerreviewedYes
dc.languageEnglish
dc.language.isoeng
dc.publisherElsevier
dc.relation.ispartofjournalEmerging Markets Review
dc.subject.fieldofresearchCommerce, Management, Tourism and Services
dc.subject.fieldofresearchApplied Economics
dc.subject.fieldofresearchBanking, Finance and Investment
dc.subject.fieldofresearchcode15
dc.subject.fieldofresearchcode1402
dc.subject.fieldofresearchcode1502
dc.titleArbitrage risk and the cross-section of stock returns: Evidence from China
dc.typeJournal article
dc.type.descriptionC1 - Articles
dcterms.bibliographicCitationLin, YE; Chu, CC; Omura, A; Li, B; Roca, E, Arbitrage risk and the cross-section of stock returns: Evidence from China, Emerging Markets Review, 2019
dcterms.licensehttp://creativecommons.org/licenses/by-nc-nd/4.0/
dc.date.updated2019-08-28T04:22:41Z
dc.description.versionAccepted Manuscript (AM)
gro.description.notepublicThis publication has been entered into Griffith Research Online as an Advanced Online Version
gro.rights.copyright© 2019 Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International Licence (http://creativecommons.org/licenses/by-nc-nd/4.0/) which permits unrestricted, non-commercial use, distribution and reproduction in any medium, providing that the work is properly cited.
gro.hasfulltextFull Text
gro.griffith.authorRoca, Eduardo D.
gro.griffith.authorLi, Bin
gro.griffith.authorOmura, Akihiro


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