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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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| Main Authors: | , , |
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| Format: | Artigo |
| Jezik: | Inglês |
| Izdano: |
KeAi Communications Co., Ltd.
2018-12-01
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| Serija: | Journal of Management Science and Engineering |
| Online dostop: | http://www.sciencedirect.com/science/article/pii/S2096232019300319 |
| Oznake: |
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