Revisiting the risk-return relation in the Chinese stock market : decomposition of risk premium and volatility feedback effect
Hao Liu, Shihan Shen, Tianyi Wang and Zhuo Huang
| Year of publication: |
2016
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| Authors: | Liu, Hao ; Shen, Shihan ; Wang, Tianyi ; Huang, Zhuo |
| Published in: |
China economic journal : the official journal of the China Center for Economic Research (CCER) at National School of Development (NSD), Peking University. - London [u.a.] : Routledge, ISSN 1753-8963, ZDB-ID 2433693-2. - Vol. 9.2016, 2, p. 140-153
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| Subject: | risk-return relation | realized GARCH | volatility feedback | risk premium | Volatilität | Volatility | Risikoprämie | Risk premium | Kapitaleinkommen | Capital income | China | CAPM | Risiko | Risk | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | Risiko-Ertrags-Verhältnis | Risk-return tradeoff |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/17538963.2016.1163813 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011585334