Firm Characteristics and Chinese Stocks

Jiang, Fuwei; Tang, Guohao; Zhou, Guofu

doi:10.3724/sp.j.1383.304014

Cited by 47 publications

(8 citation statements)

References 72 publications

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“…The Sharpe ratios of different fundamental timing spreads are similar, which vary from 1.26 of BMbased spread portfolio to 1.35 of EP-based spread portfolio. These results are similar to those studies by studying the predictability of individual firm fundamentals in Chinese market (Jiang et al, 2018;Jiang, Tang, et al, 2019).…”

Section: Value-weighted Returns Of Different Strategiessupporting

confidence: 91%

“…We obtain the Chinese risk-free rate and Chinese Fama-French (1993) three-factor data from the CSMAR as well. Following Jiang, Rapach, Strauss, Tu, and Zhou (2011), Jiang et al (2018), Jiang, Tang, and Zhou (2019 and others, our sample consists of all of the Chinese A-share stocks with accounting and returns' data available traded on the main boards of Shanghai and Shenzhen, SME Board, and Chinext Board, to cover different levels of Chinese stock markets.…”

Section: Data Descriptionmentioning

confidence: 99%

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It takes two to tango: Fundamental timing in stock market

Tang

Jiang

et al. 2020

Int. J Fin Econ

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In this paper, we propose a fundamental timing strategy in both U.S. and Chinese stock markets to timing the fundamentals sorted portfolios such as value and profitability portfolios in the time-series dimension. We find that fundamental timing strategies based on moving average (MA) timing signals could generate substantial performance gains relative to buy-and-hold strategies. The annualized average return of fundamental timing strategies reaches about 37% with Sharpe ratio nearly 1.30. These findings are robust to Fama-French factor model adjustment, alternative lag lengths of MA signals, holding days, and transaction costs. Moreover, the fundamental timing premium cannot be explained away by market timing or business cycle, and fundamental timing is more profitable among firms with high idiosyncratic volatility and high illiquidity.

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Section: Value-weighted Returns Of Different Strategiessupporting

confidence: 91%

Section: Data Descriptionmentioning

confidence: 99%

It takes two to tango: Fundamental timing in stock market

Tang

Jiang

et al. 2020

Int. J Fin Econ

Self Cite

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“…'Sales' measures the company's main business status and is defined as the natural logarithm of total firm sales. 'ROA' measures the company's accounting performance and is defined as earnings before interest and tax divided by total assets (Jiang et al, 2018). 'Return' measures the company's market performance and is defined as annualised stock returns.…”

Section: Empirical Modelsmentioning

confidence: 99%

Do social media constrain or promote company violations?

Mei

et al. 2021

Accounting & Finance

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Using retail investor posts on the stock forum from 2008 to 2019, we study the impact of social media on the incidence of company violations. We find that social media promotes company violations, which supports the 'pressure effect' rather than the 'monitoring effect'. This conclusion holds even considering potential endogenous issues. In robustness tests, when alternative sample selection, alternative independent variables and alternative dependent variables are used, the results still show that social media promote company violations. Our study supports cognitive evaluation theory, which proposes that external pressure imposed on managers increases the likelihood of violations.

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“…The CSMAR database is commonly used in studies of the Chinese market; see also in Jiang et al (2018) and Li et al (2020).…”

Section: The Existing Of Confirmatory Bias In Chinamentioning

confidence: 99%

Is information really efficient for the market? Evidence of confirmatory bias in China

Chen

Xiong

Gao

2021

Accounting & Finance

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We use the earnings forecast revisions during the period 2005-2019 to study the performance of confirmatory bias in China. As we have found, analysts are less likely to make earnings forecast revisions when the latest two signals are opposite or different from their previous beliefs. In addition, we find confirmatory bias has a significantly positive influence on analysts' forecast dispersions, especially when new signals are negative. Finally, we extend the practical significance by combining confirmatory bias with pricing efficiency and find significant harms, especially in bull markets. Uninformed investors and market supervisors should take precautions to avoid this bias.

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Firm Characteristics and Chinese Stocks

Cited by 47 publications

References 72 publications

It takes two to tango: Fundamental timing in stock market

It takes two to tango: Fundamental timing in stock market

Do social media constrain or promote company violations?

Is information really efficient for the market? Evidence of confirmatory bias in China

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