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Estimating Private Equity Market Beta Using Cash Flows : A Cross-Sectional Regression of Fund-Market Paired Internal Rates of Return
Jiang, Yindeng - 2014
We develop a new method to estimate private equity funds' market beta from cash flows. Our methodology extends the widely known public market equivalent calculation to a cross-sectional regression. By simply regressing funds' internal rates of return on their paired market internal rates of...
Persistent link: https://www.econbiz.de/10013054634
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Volatility contagion across the equity markets of developed and emerging market economies
Hattori, Masazumi; Shim, Ilhyock; Sugihara, Yoshihiko - 2016
Using variance risk premiums (VRPs) nonparametrically calculated from equity markets in selected major developed economies and emerging market economies (EMEs) over 2007 - 2015, we document the correlation of VRPs across the markets and examine whether equity fund flows work as a path through...
Persistent link: https://www.econbiz.de/10011522100
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Measuring China's stock market sentiment
Li, Jia; Chen, Yun; Shen, Yan; Wang, Jingyi; Huang, Zhuo - 2019
This paper develops textual sentiment measures for China's stock market by extracting the textual tone of 60 million … messages posted on a major online investor forum in China from 2008 to 2018. We conduct sentiment extraction by using both …
Persistent link: https://www.econbiz.de/10012125620
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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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The market-timing ability of Chinese equity securities investment funds
Sherman, Meadhbh; O'Sullivan, Niall; Gao, Jun - In: International Journal of Financial Studies : open … 5 (2017) 4, pp. 1-18
This study examines the market-timing performance of Chinese equity securities investment funds during the period from May 2003 to May 2014 using the parametric tests of Treynor–Mazuy and Henriksson–Merton as well as the Jiang non-parametric test. Based on the non-parametric approach, the...
Persistent link: https://www.econbiz.de/10011760210
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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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Multi-factor asset-pricing models under Markov regime switches : evidence from the Chinese stock market
Chen, Jieting; Kawaguchi, Yuichiro - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-19
This paper proposes a Markov regime-switching asset-pricing model and investigates the asymmetric risk-return relationship under different regimes for the Chinese stock market. It was found that the Chinese stock market has two significant regimes: a persistent bear market and a bull market. In...
Persistent link: https://www.econbiz.de/10011883257
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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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Can the greater fool theory explain bubbles? : evidence from China
Zou, Xuan - 2018
newly opened brokerage accounts in China and tests the role of new investors in bubble formation. I find that new investors …
Persistent link: https://www.econbiz.de/10011893651
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Booms and busts in China's stock market : estimates based on fundamentals
Bondt, Gabe J. de; Peltonen, Tuomo; 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 … liquidity, seem to have significantly contributed to these misalignments. - China ; Stock price ; Equity market ; Reforms …
Persistent link: https://www.econbiz.de/10003846756