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Compensation for illiquidity in China : evidence from an alternative measure

Zhang, Yiming; Wang, Guanying - In: The North American journal of economics and finance : a … 53 (2020), pp. 1-12

Persistent link: https://www.econbiz.de/10012632193

A two-dimensional innovation activity factor and stock pricing : evidence from the Chinese stock market

Liu, Dayong; Lu, Zhao; Wang, Guanying; Meng, Qiaoran - In: International review of economics & finance : IREF 90 (2024), pp. 102-114

Persistent link: https://www.econbiz.de/10014446890

Profitability of reversal strategies : a modified version of the Carhart model in China

Zhang, Wei; Wang, Guanying; Wang, Xingchun; Xiong, Xiong; … - In: Economic modelling 69 (2018), pp. 26-37

Persistent link: https://www.econbiz.de/10012016080

Is the investment factor a proxy for time-varying investment opportunities? : the US and international evidence

Huang, Lin; Wang, Zijun - In: Journal of banking & finance 44 (2014), pp. 219-232

Persistent link: https://www.econbiz.de/10010410914

Exchange risk and asset returns : a theoretical and empirical study of an open economy asset pricing model

Huang, Lin; Wu, Jia; Zhang, Rui - In: Emerging markets review 21 (2014), pp. 96-116

Persistent link: https://www.econbiz.de/10011304335

w-MPS risk aversion and the shadow CAPM : theory and empirical evidence

Huang, Lin; Ma, Chenghu; Nakata, Hiroyuki - In: The European journal of finance 23 (2017) 10/12, pp. 947-973

Persistent link: https://www.econbiz.de/10011740277

W-MPS Risk Aversion and the Shadow CAPM : Theory and Empirical Evidence

Huang, Lin - 2016

This paper presents the shadow Capital Asset Pricing Model (CAPM) of Ma (2011a) as an intertemporal equilibrium asset pricing model, and tests it empirically. In contrast to the classical CAPM - a single factor model based on a strong behavioral or distributional assumption, the shadow CAPM can...

Persistent link: https://www.econbiz.de/10012982842

Sentiment dispersion and asset pricing error : evidence from the Chinese stock market

Xiong, Xiong; Han, Jiatong; Feng, Xu; An, Yahui - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 4, pp. 820-839

Persistent link: https://www.econbiz.de/10012211507

The asset growth anomaly in the Chinese stock market

Feng, Xu; Fan, Jiarui; An, Yahui - In: Asia-Pacific journal of accounting & economics : … 27 (2020) 4, pp. 451-471

Persistent link: https://www.econbiz.de/10012255913

Shadow banks, leverage risks, and asset prices

Feng, Xu; Lu, Lei; Xiao, Yajun - In: Journal of economic dynamics & control 111 (2020), pp. 1-22

Persistent link: https://www.econbiz.de/10012501436