Empirical Study on Chinese Stock Market Noise Trading Risk Premium

摘要：

Based on the noise trading theory,proposed modifier DVI formula,development CAPM and BAPM,to carry on a empirical study to Chinese stock market noise trading risk premium.Arrive at following conclusions,the behavioral portfolio yield show significant peak skewed distribution,China stock market exist remarkable noise trader risk and risk premium,between noise trader risk and risk premium has the significant asymmetry,and stock price clear upward trend in bull market is Chinese noise trader obtains the risk premium income the important premise.

关键词： noise trading risk premium modifier DVI formula Development BAPM median regression mode

作者: Lu Xiaoguang Ma Li

作者单位: Business School,Hohai University 210098 Nanjing,P.R.China

会议类型: 国际会议

会议名称: 2010 2nd IEEE International Conference on Information and Financial Engineering(2010年第二届IEEE信息与金融工程国际会议 ICIFE 2010)

会议地点: 重庆

会议语种:英文

页码: 117-121

在线出版日期: 2010-09-17（万方平台首次上网日期，不代表论文的发表时间）