Abstract
We adopt the classical Fama and French (1992) [E.F. Fama, K.R. French, The Cross-Section of Expected Stock Returns, The Journal of Finance, 47 (1992) 427 -- 465.] approach to investigate the effect of Beta, size, leverage, book value to market value (B/P), and earnings to price (E/P) ratio on the average monthly returns in the China Stock Market (CSM) from July 1998 to June 2011. The phenomenon of concept drift was found in this research. Our results indicate that the B/P has a significant negative correlation with the monthly average returns during this period, in contrast to the positive correlation found by a previous study by Wang and Di Iorio (2007) [Y. Wang, A. Di Iorio, The cross section of expected stock returns in the Chinese A-share market, Global Finance Journal, 17 (2007) 335 -- 349.] that covered from July 1996 to June 2002. Meanwhile the small-firm effect remains significant. Thus, while the behavioral or institutional factors may account for the counter-intuitive finding of the effect of value in the transitional economy, the relationship between fundamental characteristics and stock returns is more complex in China and warrants more rigorous investigation. Further, we suggest that autonomic and cloud computing system has a number of potential applications in stock market concept drift mining.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
