China-Concept Factor and Stock Returns in Taiwan
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 to common 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.
China-concept factor models common variation
Chau-Chen Yang Cheng-few Lee Yuei-Shyan Lin Yi-Jung Chen
Department of Finance, College of Business Administration, National Taiwan University, 1 Roosevelt R Department of Finance Rutgers University Taiwan Security Company
国际会议
昆明
英文
1-32
2005-07-05（万方平台首次上网日期，不代表论文的发表时间）