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Residual Variance and Asset Pricing in the Art Market
Mei, Jianping; Moses, Michael; Zhou, Yi - 2022
In this paper, we compute residual variance of art prices to examine asset pricing in contemporary art market. Our empirical work shows a few interesting results. First, we discover that the residual variance is significantly and positively related to the average price level achieved by an...
Persistent link: https://www.econbiz.de/10013292595
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Duration-Driven Returns
Gormsen, Niels Joachim - 2020
We propose a duration-based explanation for the major equity risk factors, including value, profitability, investment, low-risk, and payout factors. Both in the US and globally, these factors invest in firms that earn most of their cash flows in the near future. The factors could therefore be...
Persistent link: https://www.econbiz.de/10012849772
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Going by the book : valuation ratios and stock returns
Choi, Ki-Soon; So, Eric; Wang, Charles C. Y. - 2021
We study the use of firms' book-to-market ratios (B/M) in value investing and its implications for comovements in firms’ stock returns and trading volumes. We show B/M has become increasingly detached from common alternative valuation ratios over time while also becoming worse at forecasting...
Persistent link: https://www.econbiz.de/10012586511
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Booms and busts in China's stock market: Estimates based on fundamentals
de Bondt, Gabe; Peltonen, Tuomas A.; Santabárbara, Daniel - 2010
This paper empirically models China’s stock prices using conventional fundamentals: corporate earnings, risk … results show that China’s equity prices can be reasonable well modelled using fundamentals, but that various booms and busts …
Persistent link: https://www.econbiz.de/10011605236
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Do initial reserves signal long-term IPO stock performance?
Cheng, Peng - In: Cogent economics & finance 3 (2015) 1, pp. 1-11
This research examines the long-run Initial Public Offerings (IPO) stock performance of a large Chinese sample, and in particular the relationship between initial reserves (capital reserves and revenue reserves immediately after the IPO) and long-run IPO stock performance. In general, Chinese...
Persistent link: https://www.econbiz.de/10010492409
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Going public in China : reverse mergers versus IPOs
Lee, Charles M. C.; Qu, Yuanyu; Shen, Tao - 2018 - This draft: July 17, 2018
We study firms that go public through reverse mergers (RMs) versus initial public offerings (IPOs) in China. Using a …. These results are in sharp contrast to the evidence on RMs from developed countries. We trace these differences to China …
Persistent link: https://www.econbiz.de/10011979947
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Institutional investors and equity prices : information, behavioral bias and arbitrage
Han, Bing; Kong, Dongmin - 2017
and a natural experiment, the split–share structure reform in China. This reform required all listed companies to convert …
Persistent link: https://www.econbiz.de/10011646414
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Reverse mergers, shell value, and regulation risk in Chinese equity markets
Lee, Charles M. C.; Qu, Yuanyu; Shen, Tao - 2017
Using a comprehensive sample of reverse merger (RM) transactions, we examine the effects of China's IPO regulations on … major asset restructurings (MARs). We conclude China's IPO regulations impose a high cost on the functional efficiency of …
Persistent link: https://www.econbiz.de/10011873081
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An empirical investigation of risk-return relations in Chinese equity markets : evidence from aggregate and sectoral data
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...
Persistent link: https://www.econbiz.de/10011883488
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Trade linkages and firm value : evidence from the 2018 US-China trade war
Huang, Yi; Chen, Lin; Liu, Sibo; Tang, Heiwai - 2018 - This version: August 7, 2018
concern over the "Trade War" between the US and China. We evaluate the market responses to this event for firms in both … countries, depending on their direct and indirect exposures to US-China trade. US firms that are more dependent on exports to … and imports from China have lower stock and bond returns but higher default risks in the short time window around the …
Persistent link: https://www.econbiz.de/10011927558