Zi-Yang Wang

Repricing China: A 25-Year Replication of the Liu–Stambaugh–Yuan Three-Factor Model

The China-specific three-factor model has dominated the explanation of cross-sectional stock returns in the Chinese A-share market since the work of Liu et al. However, their evidence is limited to the sample period of 1995–2014, while the Chinese equity market has undergone substantial changes. Whether the original si...