China-Concept Factor and Stock Returns in Taiwan

摘要：

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, Polk and Saa-Requejo (2001) in examining whether there is a financial-constraints factor. A sample of listed firms in Taiwan stock market for the period 1990-2004 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 tocommon shocks. Firms investing heavily in China are found to exhibit higher average stock returns. Hence, there exists a China-concept factor for firms listed in Taiwan stock market and have real investments in China.

关键词： China-concept factor models common variation

作者: Chau-Chen Yang Cheng-few Lee Yuei-Shyan Lin Yi-Jung Chen

作者单位: Professor, Department of Finance, College of Business Administration,National Taiwan University, 1 R Professor, Department of Finance Rutgers University Doctoral student, Department of Finance, College of Business Administration,National Taiwan Universi Taiwan Security Company

会议类型: 国际会议

会议名称: 2006年中国国际金融年会

会议地点: 西安

会议语种:英文

在线出版日期: 2006-07-17（万方平台首次上网日期，不代表论文的发表时间）