Pricing of Equities in China: Evidence from the Shanghai Stock Exchange

Michael E. Drew (School of Economics and Finance, Queensland University of Technology, GPO Box 2434, Brisbane, Queensland, 4001, Australia)
Tony Naughton (School of Economics and Finance, RMIT, City Campus, GPO Box 2476V, Melbourne, 3001, Australia)
Madhu Veeraragavan (Department of Accounting and Finance, Monash University, Clayton, Victoria, 3800, Australia)

Managerial Finance

ISSN: 0307-4358

Publication date: 1 December 2005


In this article we compare the performance of the traditional CAPM with the multi factor model of Fama and French (1996) for equities listed in the Shanghai Stock Exchange. We also investigate the explanatory power of idiosyncratic volatility and respond to the claim that multi factor model findings can be explained by the turn of the year effect. Our results show that firm size, book to market equity and idiosyncratic volatility are priced risk factors in addition to the theoretically well specified market factor. As far as the turn of the year effect is concerned we reject the claim that the findings are driven by seasonal factors.



Drew, M., Naughton, T. and Veeraragavan, M. (2005), "Pricing of Equities in China: Evidence from the Shanghai Stock Exchange", Managerial Finance, Vol. 31 No. 12, pp. 46-57.

Download as .RIS



Emerald Group Publishing Limited

Copyright © 2005, Emerald Group Publishing Limited

Please note you might not have access to this content

You may be able to access this content by login via Shibboleth, Open Athens or with your Emerald account.
If you would like to contact us about accessing this content, click the button and fill out the form.
To rent this content from Deepdyve, please click the button.