Firm Characteristics and Chinese Stocks

This paper presents a comprehensive study on predicting the cross section of Chinese stock market returns with a large panel of 75 individual firm characteristics. We use not only the traditional Fama-MacBeth regression, but also the “big-data” econometric methods: principal component analysis (PCA)...

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Bibliographic Details
Main Authors: Jiang, F. (Author), Tang, G. (Author), Zhou, G. (Author)
Format: Article
Language:English
Published: KeAi Communications Co. 2018
Subjects:
Online Access:View Fulltext in Publisher

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