Marginal Conditional Stochastic Dominance Analysis for Value Effect in Chinese Stock Market
LI Qian, SUN Lin-Yan, ZHANG Jing, LIU Ling
1. Xi'an Jiaotong University, Xi'an, China; 2. The Key Laboratory of the Ministry of Education for Process Control and Efficiency Projects, Xi'an, China; 3. The State Key Lab for Manufacturing, Xi'an, China; 4. Xinjiang University, Wulumuqi, China
This paper investigates the value effect in Chinese A stock market by using MCSD. Shenyin Wanguo A stock market index is selected as the core portfolio, and the value and growth stock subsets are constructed respectively based on the P/E and P/B index. By comparing the subsets for MCSD, the results show that the value effect exists in China A stock market based on the P/E criteria, especially in bear market; whereas there is a reverse effect for the subset with P/B criteria, which is significant in the bull market after 2005. The results show that the financial information could be partly taken into account when making investment decision. In different market conditions, investors should refer to different financial multiples.
李倩, 孙林岩, 张婧, 刘凌. 中国A股市场价值成长效应的边际条件随机占优分析[J]. J4, 2010, 7(3): 423-.
LI Qian, SUN Lin-Yan, ZHANG Jing, LIU Ling. Marginal Conditional Stochastic Dominance Analysis for Value Effect in Chinese Stock Market. J4, 2010, 7(3): 423-.
2010, Vol. 7 
