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Review of Quantitative Finance and Accounting

, Volume 38, Issue 1, pp 47–60 | Cite as

Security returns, beta, size, and book-to-market equity: evidence from the Shanghai A-share market

Original Research

Abstract

The main purpose of this paper is to explore the cross-sectional relationship between security returns and beta, size and book-to-market equity in the Shanghai A-share market. This study takes place during the period January 1997–December 2006. The methodology of Fama and French (J Finance 51:55–84, 1992) and Pettengill et al. (J Financial Quant Anal 30:101–116, 1995) is adopted. The Results show no evidence of an unconditional relationship between beta and returns. However, a conditional relationship is found when the data is split into up and down markets. The relationship holds even in the presence of size and book-to-market equity. Both size and book-to-market equity is found to be priced by the market and thereby regarded as significant determinants of security returns.

Keywords

Shanghai A-share market Risk factors Returns 

JEL Classification

C12 G12 

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Copyright information

© Springer Science+Business Media, LLC 2010

Authors and Affiliations

  1. 1.Kent Business SchoolUniversity of KentCanterburyUK

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