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...

This paper studies estimation of a partially specified spatial dynamic panel data regression with fixed-effects. Under the assumption of strictly exogenous regressors and strictly exogenous spatial weighting matrix, the model is estimated by 2SLS method aided by the sieve method and through the...