This paper studies the averaging GMM estimator that combines a conservative GMM estimator based on valid moment conditions and an aggressive GMM estimator based on both valid and possibly misspecified moment conditions, where the weight is the sample analog of an infeasible optimal weight. We...

This paper studies the averaging generalized method of moments (GMM) estimator that combines a conservative GMM estimator based on valid moment conditions and an aggressive GMM estimator based on both valid and possibly misspecified moment conditions, where the weight is the sample analog of an...

Using the turnover of city-level local leaders in mainland China, we construct a measure of political uncertainty and use this measure to explain the change of A-H share premium. Our empirical evidence shows that political uncertainty significantly reduces A-H share premium. The reduction effect...