TY - JOUR
T1 - Value premium in the Chinese stock market
T2 - Free lunch or paid lunch?
AU - Huang, Yujia
AU - Yang, Jiawen
AU - Zhang, Yongji
PY - 2013/2
Y1 - 2013/2
N2 - In this article we find that value premium exist throughout our sample period 1998-2008. However, the predictability of Book-to-Market (B/M) ratio appears to be unrelated with financial distress risk. In fact, value stocks are less risky than growth stocks in terms of return volatility and estimated financial distress risk. Further, our results suggest that the factor Value Minus Growth (VMG), which is directly related to value premium, is not a pervasive risk measure compared to the market factor and Small Minus Big (SMB) factor. While the size effect seems to be closely related to distress risk, both size and B/M factors do not appear to be driven by financial distress risk.
AB - In this article we find that value premium exist throughout our sample period 1998-2008. However, the predictability of Book-to-Market (B/M) ratio appears to be unrelated with financial distress risk. In fact, value stocks are less risky than growth stocks in terms of return volatility and estimated financial distress risk. Further, our results suggest that the factor Value Minus Growth (VMG), which is directly related to value premium, is not a pervasive risk measure compared to the market factor and Small Minus Big (SMB) factor. While the size effect seems to be closely related to distress risk, both size and B/M factors do not appear to be driven by financial distress risk.
KW - assets mispricing
KW - financial distress risk
KW - value premium
UR - http://www.scopus.com/inward/record.url?scp=84867269273&partnerID=8YFLogxK
U2 - 10.1080/09603107.2012.720010
DO - 10.1080/09603107.2012.720010
M3 - Article
AN - SCOPUS:84867269273
SN - 0960-3107
VL - 23
SP - 315
EP - 324
JO - Applied Financial Economics
JF - Applied Financial Economics
IS - 4
ER -