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Keywords: C50
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Journal Articles
Inference for variance risk premium
Available to Purchase
Journal:
China Finance Review International
China Finance Review International (2021) 11 (1): 26–52.
Published: 21 July 2020
... only Implied variance Variance risk premium Pricing errors Kernel estimation C50 C58 where M = K / S 0 is the moneyness. In the rest of the paper, we will abbreviate C ( 1 , M , T , r ) as C ( M , T ) and assume S...
Journal Articles
High-order moments in stock pricing: evidence from the Chinese and US markets
Available to Purchase
Journal:
China Finance Review International
China Finance Review International (2020) 10 (3): 323–346.
Published: 26 November 2019
... C50 G11 G32 The capital asset pricing model (CAPM) developed by Treynor (1961) , Sharpe (1964) and Lintner (1965) has widely been used, but many market anomalies have not been explained to date. Such anomalies include the size effect identified by Banz (1981) ; the excessive volatility...
Journal Articles
Analysis of capital structure stability of listed firms in China
Available to Purchase
Journal:
China Finance Review International
China Finance Review International (2020) 10 (2): 213–228.
Published: 27 August 2019
... 2018 24 03 2019 16 04 2019 © Emerald Publishing Limited 2019 Emerald Publishing Limited Licensed re-use rights only Panel data Capital structure Chinese-listed firms C50 C33 F21 O38 O55 The question of how firms make decision regarding the capital structure...
