Title: Trading volume, ratio A-shares to total shares, momentum effects and three-factor model
Abstract: With the China stock market data from July 1997 to December 2000, and making use of Fama-French regression and dynamic portfolio approach, obvious effects of trading volume, ratio of A-shares to total shares, size, and book to market value ratio etc, are found in China stock market. The effects have close relations, and can't be explained by the market beta value. But if two other factors, size factor and book-to-market value factor are added, the three-factor model of Fama-French can explain all these effects quite well.
Publication Year: 2004
Publication Date: 2004-01-01
Language: en
Type: article
Access and Citation
AI Researcher Chatbot
Get quick answers to your questions about the article from our AI researcher chatbot