This paper studies the trading behavior of individual Chinese investors before and during the recent financial crisis.We have three major findings: (i) individual investors did not withdraw their capital from the equity market during the crisis; instead, they reduced investments following...

We investigate the importance of cash flows as opposed to discount rates to the pricing of assets that, unlike common stock, are thinly traded but have reliable cash flow information. We rely on the dynamic Gordon model, which we adapt to deal with the thin trading environment, by developing a...

We propose a technique to infer cash flow yields for investment assets whose trades are infrequent, but for which cash flow data is available. We construct a Self-Propagating Rolling-Window Panel VAR framework, adapted from a Dynamic Gordon Growth Model setup. We use this framework to estimate...