Title

The Value Effect and the Market For Chinese Stocks

Author(s)

Burton G. Malkiel Burton Malkiel (Princeton University)

Derek Jun Derek Jun (Old Square Capital Advisors)

Abstract

A long literature in empirical finance has isolated both a value and a small-capitalization effect in asset pricing. This study confirms the existence of these style effects both in new types of equity indexes and in the stocks of Chinese companies traded in international markets. We then present a new nonparametric method of portfolio construction that enables investors to extract the predictive power of these style effects, without diluting their efficacy through an unintended weighting distribution that closely resembles capitalization weighting. We then develop a simple method to isolate periods where style tilts are likely to be particularly effective.

Creation Date

2009-07

Section URL ID

CEPS

Paper Number

188

URL

https://gceps.princeton.edu/wp-content/uploads/2017/01/188malkiel.pdf

File Function

Jel

G320, G120, H320, O530, G100

Keyword(s)

China, stock market, capitalization, stock portolios, equity index

Suppress

false

Series

3