A study of cross-industry return predictability in the Chinese stock market
We investigate cross-industry return predictability for the Shanghai and Shenzhen stock exchanges, by constructing 6- and 26- industry portfolios. The dominance of retail investors in these markets, in conjunction with the gradual diffusion of information hypothesis provide the theoretical backgroun...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier Inc.
2022
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| Subjects: | |
| Online Access: | View Fulltext in Publisher |