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초록
영어
This study evaluates the relative importance of cash-flow news and discount-rate news based on the log-linear model for pan-Chinese stock markets (i.e., China, Hong Kong, and Taiwan). Although they belong to the same cultural region, they have different capital market regulations and practices. In this context, we find that the discount-rate beta is bad in Hong Kong and Taiwan, while the cash-flow beta is bad in China. These findings are consistent with each market’s ownership structure, dividend policy, and tax system. However, as in the U.S., risk premiums are significantly higher in down markets than in up markets.
목차
ABSTRACT
1. Introduction
2. Literature review
3. Data and methodology
3.1 Data
3.2 Measuring cash-flow and discount-rate betas
3.3 Market status and asset pricing test
4. Empirical evidence
4.1 Selection of state variables and estimation of VARs
4.2 Patterns of cash-flow and discount-rate betas
4.3 Pricing unconditional cash-flow and discount-rate betas
4.4 Pricing conditional cash-flow and discount-rate betas
5. Conclusions
Reference
1. Introduction
2. Literature review
3. Data and methodology
3.1 Data
3.2 Measuring cash-flow and discount-rate betas
3.3 Market status and asset pricing test
4. Empirical evidence
4.1 Selection of state variables and estimation of VARs
4.2 Patterns of cash-flow and discount-rate betas
4.3 Pricing unconditional cash-flow and discount-rate betas
4.4 Pricing conditional cash-flow and discount-rate betas
5. Conclusions
Reference
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참고문헌
자료제공 : 네이버학술정보