Uncovering China's Stock Market Risk Return Relation: Crazy Casino Punters or Risk Averse Investors?

@inproceedings{Cheng2018UncoveringCS,
  title={Uncovering China's Stock Market Risk Return Relation: Crazy Casino Punters or Risk Averse Investors?},
  author={Hang Cheng and Hui Guo and Yongdong Shi},
  year={2018}
}
  • Hang Cheng, Hui Guo, Yongdong Shi
  • Published 2018
  • Business
  • Leading asset pricing models assume that conditional equity premium depends only on conditional market variance, while evidence of a simple positive risk-return relation is elusive in U.S. data. We shed new light on this issue using fresh data from China’s stock market which is legally segmented from U.S. market. We document a partial positive risk-return relation when controlling for scaled market prices as an additional explanatory variable. Our finding, which is similar to that documented in… CONTINUE READING

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