Showing 1 - 10 of 34
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
This study investigates the volume-return relationship using data from the Chinese stock market. Based on the model set up by Llorente et al. (2002), we test empirically whether investors in China are hedging oriented or motivated by speculation. A two-state Markov switching model was used to...
Persistent link: https://www.econbiz.de/10013007741
Persistent link: https://www.econbiz.de/10001732964
Persistent link: https://www.econbiz.de/10009389087
Persistent link: https://www.econbiz.de/10009752720
Persistent link: https://www.econbiz.de/10003421632
Persistent link: https://www.econbiz.de/10003723858
Persistent link: https://www.econbiz.de/10001531836
Persistent link: https://www.econbiz.de/10001433038
Persistent link: https://www.econbiz.de/10001245920