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Explaining the equity premium in Hong Kong with C-CAPM : the use of emigration growth as an instrument

Tam, Henry; Lai, Liona - In: Journal of international financial markets, … 19 (2009) 3, pp. 520-533

Persistent link: https://www.econbiz.de/10003855875

Corporate governance, ownership structure and managing earnings to meet critical thresholds among Chinese listed firms

Lai, Liona; Tam, Henry - In: Review of quantitative finance and accounting 48 (2017) 3, pp. 789-818

Persistent link: https://www.econbiz.de/10011796887

Explaining the equity premium in Hong Kong with C-CAPM: The use of emigration growth as an instrument

Tam, Henry; Lai, Liona - In: Journal of international financial markets, … 19 (2009) 3, pp. 520-533

Persistent link: https://www.econbiz.de/10008250530

Explaining the equity premium in Hong Kong with C-CAPM: The use of emigration growth as an instrument

Tam, Henry; Lai, Liona - In: Journal of international financial markets, … 19 (2009) 3, pp. 520-534

Persistent link: https://www.econbiz.de/10008881878

Explaining the equity premium in Hong Kong with C-CAPM: The use of emigration growth as an instrument

Tam, Henry; Lai, Liona - In: Journal of International Financial Markets, … 19 (2009) 3, pp. 520-533

We test the C-CAPM with CRRA utility using Hong Kong data. In 2SLS regressions, we obtain rather high estimates of the coefficient of relative risk aversion, which could explain the high equity premium in Hong Kong. Because we use lagged emigration growth as an instrument in the first-stage...

Persistent link: https://www.econbiz.de/10005066679