Size Effect on Stock Returns based on Asset Pricing Models in Chinese Stock Market
This dissertation aims to examine the size effect pattern on stock returns based on asset pricing models in China’s stock market. Empirical tests were carried out according to traditional and modified Fama French three-factor models and characteristic-based model. Unlike several research papers, whi...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2018
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| Online Access: | https://eprints.nottingham.ac.uk/54259/ |
| _version_ | 1848799028750319616 |
|---|---|
| author | Yin, Shiyan |
| author_facet | Yin, Shiyan |
| author_sort | Yin, Shiyan |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | This dissertation aims to examine the size effect pattern on stock returns based on asset pricing models in China’s stock market. Empirical tests were carried out according to traditional and modified Fama French three-factor models and characteristic-based model. Unlike several research papers, which have shown that firm size effect is linear, I found an inverted-U shape in the firm scale effect on stock return in China by investigating samples selected from A-shares on the Shanghai and Shenzhen Exchange Market in the period between 2010 and 2017. At the lower level of firm size, it has positive influence on stock returns; however, high levels of firm scale have negative influence on stock returns. |
| first_indexed | 2025-11-14T20:29:09Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-54259 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T20:29:09Z |
| publishDate | 2018 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-542592022-04-29T15:37:47Z https://eprints.nottingham.ac.uk/54259/ Size Effect on Stock Returns based on Asset Pricing Models in Chinese Stock Market Yin, Shiyan This dissertation aims to examine the size effect pattern on stock returns based on asset pricing models in China’s stock market. Empirical tests were carried out according to traditional and modified Fama French three-factor models and characteristic-based model. Unlike several research papers, which have shown that firm size effect is linear, I found an inverted-U shape in the firm scale effect on stock return in China by investigating samples selected from A-shares on the Shanghai and Shenzhen Exchange Market in the period between 2010 and 2017. At the lower level of firm size, it has positive influence on stock returns; however, high levels of firm scale have negative influence on stock returns. 2018-12-01 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/54259/1/dissertation%20title.pdf Yin, Shiyan (2018) Size Effect on Stock Returns based on Asset Pricing Models in Chinese Stock Market. [Dissertation (University of Nottingham only)] |
| spellingShingle | Yin, Shiyan Size Effect on Stock Returns based on Asset Pricing Models in Chinese Stock Market |
| title | Size Effect on Stock Returns based on Asset Pricing Models in Chinese Stock Market |
| title_full | Size Effect on Stock Returns based on Asset Pricing Models in Chinese Stock Market |
| title_fullStr | Size Effect on Stock Returns based on Asset Pricing Models in Chinese Stock Market |
| title_full_unstemmed | Size Effect on Stock Returns based on Asset Pricing Models in Chinese Stock Market |
| title_short | Size Effect on Stock Returns based on Asset Pricing Models in Chinese Stock Market |
| title_sort | size effect on stock returns based on asset pricing models in chinese stock market |
| url | https://eprints.nottingham.ac.uk/54259/ |