CPF stocks: Prices, returns and volatility

descriptionPublicationkeyboard_double_arrow_right Article 01 Oct 1992 English Publisher:Springer Science and Business Media LLCJournal:Asia Pacific Journal of Management, volume 9, pages 243-251 (issn: 0217-4561, eissn: 1572-9958,

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Authors: Swee-Sum Lam; Kai-Chong Tsui;

doi: 10.1007/bf01732899

CPF stocks: Prices, returns and volatility

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Abstract

We identify a unique phenomenon in the Central Provident Fund (CPF) stocks where stock prices increase in the absence of fundamental changes in firm value. CPF stocks are stocks endorsed by the Central Provident Fund Board in Singapore as approved investment for its members. CPF stocks offer significant price appreciation and value preservation as well as abnormal returns in the bull market before the October 1987 market crash. We find evidence of noise trading in bull markets and price pressure effects that persist through bearish market conditions.

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