Asset pricing and nominal price illusion in China
Bibliographic Data
| ID | 22234196 |
|---|---|
| Authors | Pujian Yang (0000-0002-7266-7782, Xinjiang Institute of Engineering, corresponding author), Liu Yang (0000-0003-3048-3392, Xinjiang Institute of Engineering, corresponding author) |
| Year | 2022 |
| Volume | 9 |
| Issue | 1 |
| Publication date | 2022-04-06 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Humanities and Social Sciences Communications (JOURNAL) |
| Journal identifiers | ISSN: 2662-9992 • E-ISSN: 2662-9992 |
| Publisher | Springer Science and Business Media LLC (PUBLISHER) |
| DOI | 10.1057/s41599-022-01133-4 |
| OpenAlex | W4226468306 |
| Language | EN |
| References cited | 37 |
Based on the Fama’s three-factor model (FF3) and five-factor model (FF5), this study adds a low-priced stock premium factor LPP, and then builds a new four-factor and six-factor model respectively to examine the impact of low-price premium (LPP) on the pricing of China’s stock market. The research indicates that LPP is a reliable and effective pricing component in China’s A-share market, and it may be used as a systematic factor in the Chinese stock market’s asset pricing model. The LPP factor shows a strong negative association with stock excess returns. And the inclusion of the LPP in the FF3 and FF5 still passes the robustness test. Meanwhile, the six-factor model created by combining the LPP factor with the FF5 could explain Chinese stock market pricing better
Capital asset pricing model · China · Consumption-based capital asset pricing model · Econometrics · Economics · Financial economics · Security market line · Stock market · Complex Systems and Time Series Analysis · Corporate Finance and Governance · Financial Markets and Investment Strategies
| Highly cited | No |
|---|