Pricing cloud stocks: Evidence from China

Using factor models, we examine two pricing issues of cloud stocks in China's stock market. In particular, we test whether the Fama and French factor models are useful to explain the stock prices of cloud stocks and whether there are abnormal returns unexplained by these models. Using the daily...

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Bibliographic Details
Published in:	Accounting and finance (Parkville) Vol. 64; no. 1; pp. 811 - 832
Main Authors:	Lin, Lichao, Cheung, Adrian (Wai Kong)
Format:	Journal Article
Language:	English
Published:	Clayton Blackwell Publishing Ltd 01-03-2024
Subjects:	asset pricing China cloud economy cloud stock factor model
Online Access:	Get full text
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Summary:	Using factor models, we examine two pricing issues of cloud stocks in China's stock market. In particular, we test whether the Fama and French factor models are useful to explain the stock prices of cloud stocks and whether there are abnormal returns unexplained by these models. Using the daily stock prices of 1670 cloud stocks from 2012 to 2022, we find that the factor models explain up to nearly 97% of the stock return variations of the cloud stocks, and mispricing. The results are robust to alternative measure of factors, outliers, sampling period and different approaches of factor modelling.
ISSN:	0810-5391 1467-629X
DOI:	10.1111/acfi.13162