The equity mispricing: Evidence from China's stock market

被引：16

作者：

Liu, Dehong ^{[1
]}

Gu, Hongmei ^{[2
]}

Lung, Peter ^{[3
]}

机构：

[1] Beijing Jiaotong Univ, Sch Econ & Management, Beijing, Peoples R China

[2] Jilin Univ, Ctr Chinese Publ Sect Econ Res, Changchun, Jilin, Peoples R China

[3] Univ Denver, Reiman Sch Finance, Denver, CO 80208 USA

来源：

PACIFIC-BASIN FINANCE JOURNAL | 2016年 / 39卷

关键词：

Equity bubbles; Mispricing; Asset pricing; GARCH-M; RISK-AVERSION; PREMIUM; TIME;

D O I：

10.1016/j.pacfin.2016.06.007

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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. (C) 2016 Published by Elsevier B.V.

引用

页码：211 / 223

页数：13

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