Economics

Asset pricing and nominal price illusion in China

P. Yang and L. Yang

Dive into groundbreaking research by Pujian Yang and Liu Yang that reveals how the low-price premium (LPP) significantly influences China's A-share market pricing. Uncover the strong negative relationship between LPP and stock excess returns and explore the enhanced effectiveness of Fama's models with LPP included!

00:00

Playback language: English

Index

Abstract

This study examines the impact of low-price premium (LPP) on the pricing of China's stock market using Fama's three-factor model (FF3) and five-factor model (FF5), augmented with an LPP factor. The research finds that LPP is a reliable pricing component in China's A-share market, exhibiting a strong negative association with stock excess returns. The inclusion of LPP improves the explanatory power of both FF3 and FF5, with the six-factor model (FF5 + LPP) showing the best performance in explaining Chinese stock market pricing.

Publisher

Humanities & Social Sciences Communications

Published On

Apr 06, 2022

Authors

Pujian Yang, Liu Yang

Related Publications

Explore these studies to deepen your understanding of the subject.

Social Work

Revealing the widespread existence and serious adverse health consequences of low-price rental housing in urban villages in Xiamen, China

J. Li, J. Yuan, et al.

Business

ESG uncertainty, investor attention and stock price crash risk in China: evidence from PVAR model analysis

D. Yu, T. Meng, et al.

Economics

Heterogeneous mechanisms of urban land price in China: a perspective of natural restrictions and strategic supply

F. Yuan, W. Xiao, et al.

Political Science

Joint liability and aggravation? An inspection of legislative and judicial practices in cases of the crime of the abduction, sale, and purchase of women and children in China

D. Wang

Listen, Learn & Level Up

Over 10,000 hours of research content in 25+ fields, available in 12+ languages.

No more digging through PDFs, just hit play and absorb the world's latest research in your language, on your time.

listen to research audio papers with researchbunny