ScholarWorks@숙명여자대학교

초록

This paper has empirically examined the difference of three typical market anomalies on firm－size, MTB (market－to－book ratio), and accruals in three chinese stock exchanges including Hong Kong, Shanghai, and Shenzhen. My findings are as follows. Firstly, the average MTB of Hong Kong is substantially higher than those of Shanghai and Shenzhen, suggesting that their stock prices are remarkably over－valued in comparison with Hong Kong’s. Hong Kong’s TA and OPA respectively representing total and operating accruals are higher, and its NOPA representing non－operating accruals is lower than those of Shanghai and Shenzhen. Secondly, the regressions of future ROE on the current ROE and market anomaly variables show that the MTB’s positive regression coefficient is bigger, but persists shorter than those of Shanghai and Shenzhen, while the coefficients of both TA and NOPA are significantly negative, and the biggest in Hong Kong, also both last longest in Shenzhen. Thirdly, the average ROE differences of TA, OPA, and NOPA portfolios are significantly negative, whereas those of MTB portfolios are not even significant for all three stock exchanges. Fourthly, the regressions of future stock return (R) on the current ROE and market anomaly variables show that LMV capturing firm－size effect has significantly negative regression coefficient, consistently for all future periods and stock exchanges, and those of Shanghai and Shenzhen are bigger than Hong Kong’s. While TA and OPA have significantly negative coefficients only for Rt＋1, does NOPA have for all future periods. Finally, the average stock return differences of LMV and MTB portfolios are significantly positive for all periods and stock exchanges, whereas TA portfolios have significantly positive return differences only in Hong Kong and Shenzhen, and both OPA and NOPA portfolios show no significant return differences for any future period and stock exchange. These results overall suggest that there are unambiguous differences in the strength and persistence of market anomalies among three chinese stock exchanges due to their market efficiency, accounting conservatism, and growth opportunity.

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