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The Fama and French three-factor model in developing markets : evidence from the Chinese markets

Li, Man; Dempsey, Michael - In: Investment management and financial innovations 15 (2018) 1, pp. 46-57

Persistent link: https://www.econbiz.de/10012001318

An empirical examination of jump risk in asset pricing and volatility forecasting in China's equity and bond markets

Zhou, Haigang; Zhu, John Qi - In: Pacific-Basin finance journal 20 (2012) 5, pp. 857-880

Persistent link: https://www.econbiz.de/10009619749

Risk and return in the Chinese stock market : does equity return dispersion proxy risk?

Chen, Chun-Da; Demirer, Rıza; Jategaonkar, Shrikant P. - In: Pacific-Basin finance journal 33 (2015), pp. 23-37

Persistent link: https://www.econbiz.de/10011474042

Risk and Return in the Chinese Stock Market : Does Equity Return Dispersion Proxy Risk?

Chen, Chun-Da - 2015

systematically priced in the cross-section of stock returns in China. We find that return dispersion carries a positive price of risk … even after controlling for market, size, book-to-market, and idiosyncratic volatility effects. We observe that stocks with …

Persistent link: https://www.econbiz.de/10013023627

Turnover premia in China's stock markets

Zhang, Bing; Chen, Wei; Yeh, Chung-Ying - In: Pacific-Basin finance journal 65 (2021), pp. 1-23

Persistent link: https://www.econbiz.de/10013209696

Does Idiosyncratic Volatility Matter in Emerging Markets? Evidence From China

Nartea, Gilbert - 2013

We investigate the time series behavior of idiosyncratic volatility and its role in asset pricing in China. We find no … evidence of a long-term trend in the time series behavior of idiosyncratic volatility. Idiosyncratic volatility in China is … document evidence of a negative idiosyncratic volatility effect in China with anecdotal evidence suggesting that it could be …

Persistent link: https://www.econbiz.de/10013077728