Security returns, beta, size, and book-to-market equity: evidence from the Shanghai A-share market.

The main purpose of this paper is to explore the cross-sectional relationship between security returns and beta, size and book-to-market equity in the Shanghai A-share market. This study takes place during the period January 1997-December 2006. The methodology of Fama and French (J Finance 51:55-84, and Pettengill et al. (J Financial Quant Anal 30:101-116, is adopted. The Results show no evidence of an unconditional relationship between beta and returns. However, a conditional relationship is found when the data is split into up and down markets. The relationship holds even in the presence of size and book-to-market equity. Both size and book-to-market equity is found to be priced by the market and thereby regarded as significant determinants of security returns. [ABSTRACT FROM AUTHOR]