ABSTRACT
As it has been often noticed on Western financial markets, the weaknesses of the market efficiency offers the possibility to extract abnormal positive returns. The Chinese markets have been less studied than Western ones because they are more recent, but it is particularly interesting to analyze their characteristics as far as PER and PBR are concerned. We show that there is no PER effect during the 2007–2016 period in Shanghai and Shenzhen. At the opposite, there is a significant PBR effect. This means that the PBR is relevant for an investment strategy in the Chinese market, and it gives way to a multifactor asset pricing model. In the same way, our results point out a size effect which could lead to further researches.
