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Noisy prices and the Fama–French five-factor asset pricing model in China · Study

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ArticleNoisy prices and the Fama–French five-factor asset pricing model in China

Qi Lin2017

Article2017

Noisy prices and the Fama–French five-factor asset pricing model in China

102 citations·0/0 files stored·Emerging Markets Review

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Reporting and Valuation Research

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References

1993Common risk factors in the returns on stocks and bonds 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1992The Cross-Section of Expected Stock Returns 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 1999Corporate Ownership Around the World 2002Illiquidity and stock returns: cross-section and time-series effects 2014A five-factor asset pricing model 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets

Cited by

2019Size and value in China 2023Green bonds as a bridge to the UN sustainable development goals on environment: A climate change empirical investigation 2021Anomalies in the China A-share market 2018LIQUIDITY AND FIRM VALUE IN AN EMERGING MARKET 2019Google search and stock returns in emerging markets 2020The Fama-French five-factor model and emerging market equity returns

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Year2017

Typearticle

Published2017-04-14

VenueEmerging Markets Review

ISSN-L1566-0141

Languageen

Citations102

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.ememar.2017.04.002

openalex_workW2605589760

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2022Innovative efficiency and firm value: Evidence from China

2020Relationship between investor sentiment and earnings news in high‐ and low‐sentiment periods