SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
SEGMENTATION OF THE A‐ AND B‐SHARE CHINESE EQUITY MARKETS
15 references·13 citing·44 second hop
SEGMENTATION OF THE A‐ AND B‐SHARE CHINESE EQUITY MARKETS (2000)SEGMENTATION OF THE A‐ AND B‐SHARE CHINES…Research in International Business and Finance (2009)Research in International Bus…Market Segmentation and Stock Prices: Evidence from an Emerging Market (1997)Market Segmentation and Stock…Risk and return on China's new stock markets: Some preliminary evidence (1994)Risk and return on China's ne…Foreign ownership restrictions and stock prices in the Thai capital market (1994)Foreign ownership restriction…Finite sample properties of the generalized method of moments in tests of conditional asset pricing models (1994)Finite sample properties of t…The Risk and Predictability of International Equity Returns (1993)The Risk and Predictability o…The performance of international asset allocation strategies using conditioning information (1993)The performance of internatio…General Tests of Latent Variable Models and Mean-Variance Spanning (1993)General Tests of Latent Varia…The World Price of Covariance Risk (1991)The World Price of Covariance…Predicting returns in the stock and bond markets (1986)Predicting returns in the sto…Stock Returns and the Term Structure (1985)Stock Returns and the Term St…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Some properties of time series data and their use in econometric model specification (1981)Some properties of time serie…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…The influence of the COVID-19 pandemic on asset-price discovery: Testing the case of Chinese informational asymmetry (2020)The influence of the COVID-19…Time-Varying Herding Behavior, Global Financial Crisis, and the Chinese Stock Market (2015)Time-Varying Herding Behavior…Value relevance of accounting information: Evidence from an emerging market (2014)Value relevance of accounting…Acquirer Characteristics and Method of Payment: Evidence from Chinese Mergers and Acquisitions (2013)Acquirer Characteristics and …Relative value‐relevance of accounting measures based on Chinese Accounting Standards and International Financial Reporting Standards (2012)Relative value‐relevance of a…Price Discovery for Segmented US‐Listed Chinese Stocks: Location or Market Quality? (2009)Price Discovery for Segmented…An empirical study of the asymmetric cointegration relationships among the Chinese stock markets (2007)An empirical study of the asy…China financial research: A review and synthesis (2006)China financial research: A r…Are the China-related stock markets segmented with both world and regional stock markets? (2006)Are the China-related stock m…Removal of an investment restriction: the ‘B’ share experience from China's stock markets (2005)Removal of an investment rest…Return and risk interactions in Chinese stock markets (2004)Return and risk interactions …Information flows within and across sectors in Chinese stock markets (2003)Information flows within and …Adaptation and Convergence in Corporate Governance: The Case of Chinese Listed Companies (2002)Adaptation and Convergence in…An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Sources of risk and expected returns in global equity markets (1994)Do Arbitrage Pricing Models Explain the Predictability of Stock Returns? (1995)Exchange Rate Fluctuations, Political Risk, and Stock Returns: Some Evidence from an Emerging Market (1995)Biases in Dynamic Models with Fixed Effects (1981)Panel data and unobservable individual effects (1981)The Long-Run Performance of Global Equity Offerings (2000)Analysis of Panel Data (2003)Chapter 16 Are financial assets priced locally or globally? (2003)Multi-market trading and arbitrage☆ (2010)Time Series Analysis: Forecasting and Control (1977)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)An analysis of intertemporal and cross-sectional determinants of earnings response coefficients (1989)The Variation of Economic Risk Premiums (1991)Expected Stock Returns and Variance Risk Premia (2009)Fractional Brownian Motions, Fractional Noises and Applications (1968)Time Series Analysis Forecasting and Control. (1971)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Long memory processes and fractional integration in econometrics (1996)The contribution of tourism development to economic growth in the Korean economy (2003)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Common Risk Factors in Currency Markets (2011)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Expected stock returns and volatility (1987)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross-Section of Expected Stock Returns (1992)Risk, Return, and Equilibrium: Empirical Tests (1973)Predictable Risk and Returns in Emerging Markets (1994)Market Integration and Contagion (2005)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Common risk factors in the returns on stocks and bonds (1993)
this work references cited by second hop

References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1981Some properties of time series data and their use in econometric model specification2,406 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 1986Predicting returns in the stock and bond markets1,715 cited
  • 1991The World Price of Covariance Risk1,139 cited
  • 1993The Risk and Predictability of International Equity Returns1,065 cited
  • 1994Finite sample properties of the generalized method of moments in tests of conditional asset pricing models346 cited
  • 1997Market Segmentation and Stock Prices: Evidence from an Emerging Market322 cited
  • 2009Research in International Business and Finance287 cited
  • 1994Foreign ownership restrictions and stock prices in the Thai capital market265 cited
  • 1994Risk and return on China's new stock markets: Some preliminary evidence225 cited
  • 1993The performance of international asset allocation strategies using conditioning information202 cited
  • 1993General Tests of Latent Variable Models and Mean-Variance Spanning

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

100 cited

Cited by

  • 2020The influence of the COVID-19 pandemic on asset-price discovery: Testing the case of Chinese informational asymmetry92 cited
  • 2006China financial research: A review and synthesis73 cited
  • 2006Are the China-related stock markets segmented with both world and regional stock markets?53 cited
  • 2014Value relevance of accounting information: Evidence from an emerging market52 cited
  • 2003Information flows within and across sectors in Chinese stock markets50 cited
  • 2002Adaptation and Convergence in Corporate Governance: The Case of Chinese Listed Companies49 cited
  • 2007An empirical study of the asymmetric cointegration relationships among the Chinese stock markets44 cited
  • 2009Price Discovery for Segmented US‐Listed Chinese Stocks: Location or Market Quality?37 cited
  • 2015Time-Varying Herding Behavior, Global Financial Crisis, and the Chinese Stock Market36 cited
  • 2013Acquirer Characteristics and Method of Payment: Evidence from Chinese Mergers and Acquisitions33 cited
  • 2005Removal of an investment restriction: the ‘B’ share experience from China's stock markets32 cited
  • 2004Return and risk interactions in Chinese stock markets27 cited
  • 2012Relative value‐relevance of accounting measures based on Chinese Accounting Standards and International Financial Reporting Standards25 cited