Review of Quantitative Finance and Accounting

, Volume 26, Issue 1, pp 23–39 | Cite as

The Cross-Section of Stock Returns on The Shanghai Stock Exchange

  • Kie Ann Wong
  • Ruth Seow Kuan Tan
  • Wei Liu


This study explores the cross-sectional stock return behavior on the A-share market of the Shanghai Stock Exchange (SSE), which is segmented from world's other equity markets. We estimate the effects of beta, firm size, book-to-market equity ratio and a variable unique to the Chinese stock markets, the proportion of firm's floating (tradable) equity over total equity on SSE stocks over the period 1993–2002. We find that smaller firms and value stocks perform better. Systematic risk is negatively significant in down markets. The proportion of floating equity has no direct effect on stock returns.

Key Words

stock market cross-sectional analysis China 


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Copyright information

© Springer Science + Business Media, Inc. 2006

Authors and Affiliations

  1. 1.Department of Finance & AccountingNational University of SingaporeSingapore
  2. 2.Department of Finance & AccountingNational University of SingaporeSingapore
  3. 3.Hong Kong and Shanghai Banking Corporation (Singapore)Singapore

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