Title

How Predictable Is the Chinese Stock Market?

Alternative Title

中国股票市场可预测性的实证研究

Publication Type

Journal Article

Publication Date

2011

Abstract

We analyze return predictability for the Chinese stock market index and its components sorted on industry, size, book-to-market and ownership concentration, with both in-sample and out-of-sample tests. We find significant predictability. Among industry portfolios, Finance and insurance, Real estate, and Manufacturing exhibit the most predictability, while small-cap, low book-to-market ratio and low ownership concentration firms also display considerable predictability. The conditional CAPM model largely accounts for component predictability, and industry concentration significantly explain differences in return predictability across industries, consistent with the information-flow frictions emphasized by Hong, Torous, and Valkanov (2007).

Keywords

Component Portfolios, In-Sample Return Predictability, Out-of-Sample Return Predictability, Conditional CAPM, Information-Flow Frictions

Discipline

International Economics | Portfolio and Security Analysis

Research Areas

Finance

Publication

Journal of Financial Research

First Page

107

Last Page

121

ISSN

0270-2592

Publisher

Wiley

Comments

Journal of Financial Research (in Chinese)

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