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...

Purpose This paper aims to examine the Chinese investment anomaly and dissect it from a perspective of rational expectation framework. Design/methodology/approach Characteristic-based sorting and Fama–MacBeth two-stage cross-sectional regression are adopted to test the relationship between...

Fisher, Geltner, and Webb (1993), in a highly influential paper, develop a procedure to recover the underyling market values from a smoothed valuation-based commercial property return index, without assuming that the underlying property market is informationally efficient. Many papers since then...

ERES:conference