English, Article edition: China-Concept Factor and Stock Returns in Taiwan Chau-Chen Yang; Cheng-Few Lee; Yi-Jung Chen; ...

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Bookmark: http://trove.nla.gov.au/version/132483
Physical Description
  • article
Language
  • English

Edition details

Title
  • China-Concept Factor and Stock Returns in Taiwan
Author
  • Chau-Chen Yang
  • Cheng-Few Lee
  • Yi-Jung Chen
  • Ling Hu
Physical Description
  • article
Notes
  • This study investigates whether there is a "China-concept factor", a common variation of stock returns, for firms that are listed in Taiwan stock markets and have real investments in China. We employ a methodology similar to that used by Lamont et al. (2001) in examining whether there is a financial-constraints factor. Listed firms in Taiwan stock markets for the period 1990â2004 are used to form portfolios of firms based on observable characteristics related to their real investments in China. We find that firms investing heavily in China have stock returns moving together over time, which suggests that firms investing in China are subject to common shocks. Firms investing heavily in China are found to exhibit higher average stock returns. There exists a China-concept factor for firms listed in Taiwan stock market and have real investments in China.
  • Stock returns, China-concept, factor models, common variation
  • RePEc:wsi:rpbfmp:v:11:y:2008:i:01:p:99-122
Language
  • English
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