China S Equity Risk Premium

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China S Equity Risk Premium

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Author : Nano Kurzmann
language : en
Publisher: GRIN Verlag
Release Date : 2010-12

China S Equity Risk Premium written by Nano Kurzmann and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-12 with Business & Economics categories.

Master's Thesis from the year 2008 in the subject Business economics - Investment and Finance, grade: 1,3, University of Birmingham (Department of Economics), language: English, abstract: Despite the great fall of the Shanghai Stock exchange since the beginning of the year 2008, Chinese equities have performed unimaginably during their young history of existence. This paper aims to answer the question whether these returns are sustainable. The equity risk premium probably provides the most powerful tool to do so. Thus, several techniques are presented to estimate its magnitude. It turns out that some techniques are less and others more suitable in an environment of an emerging country. This paper accumulates evidence that investors must be prepared to receive a much lower reward for their investments.

Estimating Equity Risk Premium

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Author : Jie Zhu
language : en
Publisher:
Release Date : 2009

Estimating Equity Risk Premium written by Jie Zhu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.

The expected equity risk premium is a key input of many asset prcing models in finance. There exist a number of methods to estimate the risk premium. It is also well documented that the risk premium is time-varying. This paper briefly reviews two different approaches. More specifically, the historical average and relative estimation are taken into closer examination. The first approach is applied to estimate equity risk premium for stock markets in Great China when the stock markets were recovering from the bottom. Then the relative estimation approach is also adopted to empirical data to justify the findings in the first one, which takes into consideration the lower required rate of return for Chinese investors due to lack of investment opportunities. After making these adjustments, we find that risk premium in mainland China is close to risk premium for Hong Kong and Taiwan markets. All of those markets have higher risk premium compared to US market. The risk premium for Shanghai and Shenzhen market are about 8% and 10% respectively. For Hong Kong and Taiwan these numbers become 8% and 9%, where the long-term forward-looking risk premium for US market is about 4%.

The Implied Growth Rates And Country Risk Premium

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Author : Pengguo Wang
language : en
Publisher:
Release Date : 2014

The Implied Growth Rates And Country Risk Premium written by Pengguo Wang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.

Realized stock market returns are volatile and poor reflections of economic growth and investor expectations in China. In this paper, we estimate simultaneously the implied long run growth rate and cost of equity capital for listed Chinese firms over the period 2004-2012. We find that the implied mean growth rate in earnings is around 10% and the mean implied cost of capital is about 14.6%. These suggest that the implied growth rates from companies' fundamentals are in line with the economic growth and the implied cost of capital is consistent with investors' expectations. Comparing with estimates for the US markets, we find that the mean country equity risk premium for this largest emerging market is about 6.5%. Our study has important implications to the Chinese policy makers and international investors.

New Evidence On Economic Policy Uncertainty And Equity Risk Premium

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Author : Xiaoming Li
language : en
Publisher:
Release Date : 2017

New Evidence On Economic Policy Uncertainty And Equity Risk Premium written by Xiaoming Li and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.

Contrary to the recently reported US evidence of a negative premium, this study shows that China's economic policy uncertainty (EPU) commands a positive equity risk premium. Motivated by the observation that Chinese stock traders have a strong risk appetite and a cognitive bias, we modify the assumption underlying the orthodox ICAPM framework to derive hypotheses consistent with the Chinese context, and test them based on multifactor models. We find that stocks with higher EPU betas earn significantly higher average returns. Loadings on the EPU factor incrementally and positively forecast the cross-section of returns on portfolios and individual stocks.

Estimating The Equity Risk Premium

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Author : David Biery
language : en
Publisher:
Release Date : 2016

Estimating The Equity Risk Premium written by David Biery and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.

Risk Speculation And China S Cross Listing Share Premiums

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Author : Fengping Zheng
language : en
Publisher:
Release Date : 2014

Risk Speculation And China S Cross Listing Share Premiums written by Fengping Zheng and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.

The A-H premium is a long standing puzzle facing Chinese stock market. This paper finds that this premium can be largely explained by its exposure to Chinese special treatment (ST) stocks, which have high delisting risk. The exposure to the ST index explains more than half of the variations of the A-H premium. A positive delisting risk premium is estimated by the Fama-Macbeth regressions. These results suggest that investor speculation is the main driver of the premium, in contrast to previous research that attributes the A-H premium to a difference between the risk behaviors of investors in the two share classes. The potential effect of conditional character of the Chinese stock market and its role in terms of the A-H premium are also discussed in this paper.

Asset Pricing And Price Differentials In China S A Share And B Share Equity Markets

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Author : Jian Shang
language : en
Publisher:
Release Date : 1997

Asset Pricing And Price Differentials In China S A Share And B Share Equity Markets written by Jian Shang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Capital assets pricing model categories.

Investing In China

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Author : Winston Ma
language : en
Publisher:
Release Date : 2006

Investing In China written by Winston Ma and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Business & Economics categories.

A groundbreaking title that explores the new and developing opportunities for foreign investors in China's transforming stock and capital markets, at this critical point in their history. \r\nFrom the foreword:"Winston Ma's remarkably informed study of China's recent stock market developments and the emerging opportunities they are providing to investors is a most welcome contribution to modern financial literature."Richard Sylla, Stern School of Business, New York University

Corporate Growth Options And Equity Risk In The People S Republic Of China

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Author : Zou Hong
language : en
Publisher:
Release Date : 2002

Corporate Growth Options And Equity Risk In The People S Republic Of China written by Zou Hong and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Corporations categories.

Is China S Equity Market A Systematic Risk For International Asset Pricing Models

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Author : 李奕嫺
language : en
Publisher:
Release Date : 2008

Is China S Equity Market A Systematic Risk For International Asset Pricing Models written by 李奕嫺 and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.