Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/257024 
Erscheinungsjahr: 
2019
Quellenangabe: 
[Journal:] Economies [ISSN:] 2227-7099 [Volume:] 7 [Issue:] 3 [Article No.:] 92 [Publisher:] MDPI [Place:] Basel [Year:] 2019 [Pages:] 1-21
Verlag: 
MDPI, Basel
Zusammenfassung: 
We find value premium in the Chinese stock market using a conventional buy-and-hold approach which longs the portfolio with the highest BM ratio and shorts the one with the lowest BM ratio. Based on the finding, we test a new strategy by combining the value premium effect and technical analysis. During the sample period (1995 to 2015), we trade the objective portfolio or risk-free asset according to the moving average timing signals, and we find excess return from such a zero-cost trading strategy. We perform various robustness tests and find that the excess returns remain significantly positive after adjusting for risks (on three factor models) and transaction costs. In general, we find that the combined trading strategy can generate significant positive risk-adjusted returns after the transaction costs.
Schlagwörter: 
China stock market
moving average
technical analysis
value premium
JEL: 
G11
G14
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