Most analysis of risk parity treats it as a heuristic and compares backtests of different allocation methods with less emphasis on investment rationale. The authors investigate risk parity under different settings, highlight its potential utility, and give insights into when this method may be...

In this study we use the latent variable asset pricing model to examine the pricing of A and B shares in the China stock markets. The hypothesis tested is whether markets for the A and the B shares of the same companies are segmented. We document only one latent variable in both A and B share...