Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
973024 | Pacific-Basin Finance Journal | 2016 | 13 Pages |
Abstract
•The mispricing in China's equity market•The margin trading and short sale activity in the emerging market•The proxy of the equity risk premium in China based on a GARCH(1,1)-M model
This paper examines the equity mispricing in China's stock market. We measure China's equity mispricing based on the fundamental market-to-book value ratio. As we break down the equity bubble into two components—the earnings mispricing and the required-return mispricing—we find that the Chinese stock bubble is attributed to investors' required-return mispricing. This finding is consistent with the time-varying risk preference estimated by a GARCH-M model.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Dehong Liu, Hongmei Gu, Peter Lung,