{"id":"https://openalex.org/W2605589760","doi":"https://doi.org/10.1016/j.ememar.2017.04.002","title":"Noisy prices and the Fama\u2013French five-factor asset pricing model in China","display_name":"Noisy prices and the Fama\u2013French five-factor asset pricing model in China","publication_year":2017,"publication_date":"2017-04-14","ids":{"openalex":"https://openalex.org/W2605589760","doi":"https://doi.org/10.1016/j.ememar.2017.04.002","mag":"2605589760"},"language":"en","primary_location":{"id":"doi:10.1016/j.ememar.2017.04.002","doi":"https://doi.org/10.1016/j.ememar.2017.04.002","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.ememar.2017.04.002","pdf_url":null,"source":{"id":"https://openalex.org/S197112600","display_name":"Emerging Markets Review","issn_l":"1566-0141","issn":["1566-0141","1873-6173"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-3","jufo-1","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Emerging Markets Review","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5100659443","display_name":"Qi Lin","orcid":"https://orcid.org/0000-0002-8661-4446","observed_orcids":["https://orcid.org/0000-0002-8661-4446"]},"institutions":[{"id":"https://openalex.org/I90727586","display_name":"Zhejiang University of Finance and Economics","ror":"https://ror.org/055vj5234","country_code":"CN","type":"education","lineage":["https://openalex.org/I90727586"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Qi Lin","raw_affiliation_strings":["School of Finance, Zhejiang University of Finance & Economics, Hangzhou 310018, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Finance, Zhejiang University of Finance & Economics, Hangzhou 310018, China","institution_ids":["https://openalex.org/I90727586"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5100659443"],"corresponding_institution_ids":["https://openalex.org/I90727586"],"apc_list":{"value":3060,"currency":"USD","value_usd":3060},"apc_paid":null,"fwci":14.398,"has_fulltext":false,"cited_by_count":106,"citation_normalized_percentile":{"value":0.98951145,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":96,"max":100},"biblio":{"volume":"31","issue":null,"first_page":"141","last_page":"163"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9990000128746033,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9990000128746033,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12123","display_name":"Financial Analysis and Corporate Governance","score":0.00039999998989515007,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12675","display_name":"Financial Reporting and Valuation Research","score":9.999999747378752e-05,"subfield":{"id":"https://openalex.org/subfields/1408","display_name":"Strategy and Management"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/fama-french-five-factor-model","display_name":"Fama-French five-factor model","score":0.9179999828338623},{"id":"https://openalex.org/keywords/chinese-stock-market","display_name":"Chinese stock market","score":0.6489999890327454},{"id":"https://openalex.org/keywords/determinants-of-profitability","display_name":"determinants of profitability","score":0.7360000014305115},{"id":"https://openalex.org/keywords/investment-factors","display_name":"investment factors","score":0.9419999718666077},{"id":"https://openalex.org/keywords/value-factor","display_name":"value factor","score":0.9089999794960022},{"id":"https://openalex.org/keywords/three-factor-model","display_name":"three-factor model","score":0.6439999938011169},{"id":"https://openalex.org/keywords/asset-pricing","display_name":"asset pricing","score":0.3970000147819519}],"concepts":[{"id":"https://openalex.org/C129361004","wikidata":"https://www.wikidata.org/wiki/Q2470236","display_name":"Profitability index","level":2,"score":0.7768407464027405},{"id":"https://openalex.org/C181236170","wikidata":"https://www.wikidata.org/wiki/Q848354","display_name":"Capital asset pricing model","level":2,"score":0.7027148008346558},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6957588791847229},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6415837407112122},{"id":"https://openalex.org/C2775933567","wikidata":"https://www.wikidata.org/wiki/Q7912771","display_name":"Value premium","level":3,"score":0.6128555536270142},{"id":"https://openalex.org/C27548731","wikidata":"https://www.wikidata.org/wiki/Q88272","display_name":"Investment (military)","level":3,"score":0.5224294066429138},{"id":"https://openalex.org/C10879293","wikidata":"https://www.wikidata.org/wiki/Q726474","display_name":"Factor analysis","level":2,"score":0.505807638168335},{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.466198593378067},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.45230770111083984},{"id":"https://openalex.org/C111696304","wikidata":"https://www.wikidata.org/wiki/Q2303697","display_name":"Sorting","level":2,"score":0.4484628438949585},{"id":"https://openalex.org/C121087249","wikidata":"https://www.wikidata.org/wiki/Q546395","display_name":"Emerging markets","level":2,"score":0.42962685227394104},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.22321778535842896},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.09420233964920044},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.09055104851722717},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.0},{"id":"https://openalex.org/C94625758","wikidata":"https://www.wikidata.org/wiki/Q7163","display_name":"Politics","level":2,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1016/j.ememar.2017.04.002","doi":"https://doi.org/10.1016/j.ememar.2017.04.002","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.ememar.2017.04.002","pdf_url":null,"source":{"id":"https://openalex.org/S197112600","display_name":"Emerging Markets Review","issn_l":"1566-0141","issn":["1566-0141","1873-6173"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-3","jufo-1","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Emerging Markets Review","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:eee:ememar:v:31:y:2017:i:c:p:141-163","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S1566014117301425","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":43,"referenced_works":["https://openalex.org/W1840656731","https://openalex.org/W1967872601","https://openalex.org/W1985349674","https://openalex.org/W1995834279","https://openalex.org/W2002882686","https://openalex.org/W2015314851","https://openalex.org/W2019195375","https://openalex.org/W2029056003","https://openalex.org/W2062580338","https://openalex.org/W2082480410","https://openalex.org/W2083148578","https://openalex.org/W2090338378","https://openalex.org/W2105963030","https://openalex.org/W2116347131","https://openalex.org/W2116988959","https://openalex.org/W2125520394","https://openalex.org/W2127366658","https://openalex.org/W2133788593","https://openalex.org/W2141673418","https://openalex.org/W2149990348","https://openalex.org/W2152142750","https://openalex.org/W2166215547","https://openalex.org/W2889831213","https://openalex.org/W3121401171","https://openalex.org/W3121508937","https://openalex.org/W3122118888","https://openalex.org/W3122235843","https://openalex.org/W3122516690","https://openalex.org/W3123091495","https://openalex.org/W3123284902","https://openalex.org/W3123586269","https://openalex.org/W3124228043","https://openalex.org/W3124591263","https://openalex.org/W3124747412","https://openalex.org/W3125120109","https://openalex.org/W3125563063","https://openalex.org/W3125613814","https://openalex.org/W4237239309","https://openalex.org/W4239488419","https://openalex.org/W4241549762","https://openalex.org/W4242067316","https://openalex.org/W6639015450","https://openalex.org/W6822135959"],"related_works":["https://openalex.org/W2585474924","https://openalex.org/W2609571393","https://openalex.org/W4327792119","https://openalex.org/W4231562186","https://openalex.org/W2900273046","https://openalex.org/W7065650961","https://openalex.org/W4387023047","https://openalex.org/W4328096858","https://openalex.org/W4376525994","https://openalex.org/W4402710261"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":7},{"year":2025,"cited_by_count":6},{"year":2024,"cited_by_count":7},{"year":2023,"cited_by_count":12},{"year":2022,"cited_by_count":20},{"year":2021,"cited_by_count":16},{"year":2020,"cited_by_count":15},{"year":2019,"cited_by_count":7},{"year":2018,"cited_by_count":13},{"year":2017,"cited_by_count":3}],"updated_date":"2026-11-07T11:25:07.637180","created_date":"2017-04-28T00:00:00"}