Empirical Study on Chinese Stock Market Noise Trading Risk Premium
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.
noise trading risk premium modifier DVI formula Development BAPM median regression mode
Lu Xiaoguang Ma Li
Business School,Hohai University 210098 Nanjing,P.R.China
国际会议
重庆
英文
117-121
2010-09-17(万方平台首次上网日期,不代表论文的发表时间)