Asset Pricing In China
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Author | : Wei Huang |
Publisher | : |
Total Pages | : 53 |
Release | : 2015 |
Genre | : |
ISBN | : |
Download Asset Pricing in China's Domestic Stock Markets Book in PDF, Epub and Kindle
China's stock markets have grown rapidly since their inception and have become an increasingly important emerging market for international investors. However, there are few systematic studies on how asset prices are formed in Chinese domestic equity markets; popular financial media even depict the market as irrational. In this paper, we study the asset pricing mechanism in the nascent Chinese stock markets, with the objective of identifying variables that capture the cross-sectional variation in average stock returns. We focus on the effects of various market imperfections in China. We find that while the market risk (beta) is not priced, there is a significantly negative relationship between firm-specific risk and expected returns. Chinese investors are willing to pay a significant premium for more liquid stocks or for dividend-paying stocks. Furthermore, investors value local A-shares more if there are offshore counterparts (e.g., B- and H- shares) for foreigners, implying that a Chinese firm with a foreign shareholder base has a lower cost of capital, ceteris paribus. Lastly, as with U.S. and other mature markets, firm size and the book-to-market ratio are systematically related to stock returns. Given market imperfections, stocks are priced rather rationally in China, despite the widespread perception to the contrary.
Author | : Renjian Li |
Publisher | : |
Total Pages | : 136 |
Release | : 2014 |
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Download Essays on Asset Pricing in Chinese Stock Markets Book in PDF, Epub and Kindle
Author | : Michael E. Drew |
Publisher | : |
Total Pages | : 16 |
Release | : 2003 |
Genre | : Capital assets pricing model |
ISBN | : |
Download Asset Pricing in China Book in PDF, Epub and Kindle
Author | : Joyce Yanyun Man |
Publisher | : Lincoln Inst of Land Policy |
Total Pages | : 260 |
Release | : 2011 |
Genre | : Political Science |
ISBN | : 9781558442115 |
Download China's Housing Reform and Outcomes Book in PDF, Epub and Kindle
This in-depth volume explains China's residential construction boom and reviews how some established trends are likely to challenge its housing market in coming years. It draws on household surveys and public data in China and provides important lessons about housing policy for China and other countries.
Author | : Ruipeng Di |
Publisher | : |
Total Pages | : 266 |
Release | : 1997 |
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Download Asset Pricing in Mainland China Book in PDF, Epub and Kindle
Author | : Jian Shang |
Publisher | : |
Total Pages | : 0 |
Release | : 1997 |
Genre | : Capital assets pricing model |
ISBN | : |
Download Asset Pricing and Price Differentials in China's A-share and B-share Equity Markets Book in PDF, Epub and Kindle
Author | : Henry Zhang |
Publisher | : |
Total Pages | : 28 |
Release | : 2017 |
Genre | : |
ISBN | : |
Download Asset Pricing Anomalies and the State Ownership Effect in China's Domestic Stock Market Book in PDF, Epub and Kindle
In China, a large proportion of companies are state owned, and this factor is a likely important driver of assets prices. In this paper, a State-Owned Enterprise (SOE) benchmark/factor is constructed along with the market factor and common benchmarks used in the literature to explain returns - Value, Size, and Momentum. Testing various models using two stage Fama & MacBeth (1973) regressions, we show that the SOE factor is critical in explaining cross section returns in China's domestic stock market. The explanatory power of the multi-factor model improves after adjusting common factors such as value, size and momentum for the SOE impact. We suggest that the SOE risk factor captures specific characteristics of the asset pricing mechanism in China. While accounting for the SOE impact improves explanatory power of the asset pricing model, further market specific factors may be relevant in China.
Author | : Filip Abraham |
Publisher | : World Scientific |
Total Pages | : 372 |
Release | : 2020-04-15 |
Genre | : Business & Economics |
ISBN | : 9811212244 |
Download China's Rise And Internationalization: Regional And Global Challenges And Impacts Book in PDF, Epub and Kindle
2018 marks the 40th anniversary of the start of China's reform and opening up policy, which created China's growth miracle with an annual average growth rate of around 9.5 percent. China's rapid rise and internationalization has also generated profound impacts both regionally and globally. This edited book aims to bring together academics and researchers at policy institutions to discuss ongoing research on a wide range of theoretical and empirical issues related to China's rapid rise and internationalization from both regional and global perspectives.
Author | : Tang Tang |
Publisher | : |
Total Pages | : |
Release | : 2004 |
Genre | : |
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Download Asset Pricing Review and a Case Study on Chinese Stock Markets Book in PDF, Epub and Kindle
Author | : Yu Wang |
Publisher | : |
Total Pages | : |
Release | : 2016 |
Genre | : |
ISBN | : |
Download Empirical Essays on Asset Pricing in the Chinese Stock Market Book in PDF, Epub and Kindle