Chiang, Thomas C.; Zhang, Yuanqing - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-22
This paper investigates the risk-return relations in Chinese equity markets. Based on a TARCH-M model, evidence shows that stock returns are positively correlated with predictable volatility, supporting the risk-return relation in both aggregate and sectoral markets. Evidence finds a positive...