Behavioral asset pricing in Chinese stock markets

This thesis addresses asset pricing in Chinese A-share stock markets using a dataset consisting of all shares listed in Shanghai and Shenzhen stock exchanges from January 1997 to December 2007. The empirical work is carried out based on two theoretical foundations: the efficient market hypothesis an...

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Bibliographic Details
Main Author: Yihan Xu
Format: Default Thesis
Published: 2011
Subjects:
Other economics not elsewhere classified
Asset pricing
Portfolio returns
Investor sentiment
Beta-Pricing Model
Conditional Model
Markov-Switching Model
Economics not elsewhere classified
Online Access:https://hdl.handle.net/2134/7974
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