Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5056085 | Economic Modelling | 2007 | 10 Pages |
Abstract
We model investors' optimal portfolio policy in the case of potential event risk (circulation of State-owned Equities) in China stock market, and derive a Liquidity-based Asset Pricing Model. We show that the potential event risk deters some investors from entering the market, leading to a thin stock market. Some implications of the model are derived.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Mingchao Cai, Yongxiang Wang, Weixing Wu,