DocumentCode
2132329
Title
Empirical Study on the Book-to-Market Effect in China Stock Markets
Author
Xia, Weili ; Zhong, Xiaguo ; Gao, Xiaoming ; Jiang, Jijiao
Author_Institution
Sch. of Manage., Northwestern Polytech. Univ., Xi´´an, China
fYear
2010
fDate
24-26 Aug. 2010
Firstpage
1
Lastpage
4
Abstract
This paper shows that the book-to-market effect is existed in China stock markets by using the data from 1995 to 2008, and we have the ability to use the book-to-market ratio to predict future returns and arbitrage. Through comparing aviation enterprises with the market average level, we also find the book-to-market effect exists in aviation industry. Result shows the semi-strong form Efficient Market Hypothesis is untenable in China stock markets, and investing on value stocks can get abnormal returns.
Keywords
avionics; stock markets; China stock markets; aviation enterprises; book-to-market effect; efficient market hypothesis; market average level; Educational institutions; Finance; Investments; Portfolios; Stock markets; Systematics;
fLanguage
English
Publisher
ieee
Conference_Titel
Management and Service Science (MASS), 2010 International Conference on
Conference_Location
Wuhan
Print_ISBN
978-1-4244-5325-2
Electronic_ISBN
978-1-4244-5326-9
Type
conf
DOI
10.1109/ICMSS.2010.5575493
Filename
5575493
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