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Value Premium and Technical Analysis: Evidence from China’s Stock Market
Keith S. K. Lam; Liang Dong; Bo Yu
2019
Source PublicationEconomies
ISSN2227-7099
Volume7Issue:3Pages:92
Abstract

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.

KeywordValue Premium China Stock Market Moving Average Technical Analysis
DOIhttps://doi.org/10.3390/economies7030092
Language英语
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Document TypeJournal article
CollectionFaculty of Business Administration
DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
AffiliationUniversity of Macau
First Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
Keith S. K. Lam,Liang Dong,Bo Yu. Value Premium and Technical Analysis: Evidence from China’s Stock Market[J]. Economies,2019,7(3):92.
APA Keith S. K. Lam,Liang Dong,&Bo Yu.(2019).Value Premium and Technical Analysis: Evidence from China’s Stock Market.Economies,7(3),92.
MLA Keith S. K. Lam,et al."Value Premium and Technical Analysis: Evidence from China’s Stock Market".Economies 7.3(2019):92.
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