Presidential Address: Expected Return, Realized Return, and Asset Pricing Tests

Testing for expected return and market p

Testing for expected return and market price of risk in Chinese A and B share markets: A geometric Brownian motion and multivariate GARCH model approach

✍ Jie Zhu 📂 Article 📅 2009 🏛 Elsevier Science 🌐 English ⚖ 455 KB

There exist dual listed stocks which are issued by the same company in some stock markets. Although these stocks bare the same firm-specific risks and enjoy identical dividends and voting policies, they are priced differently. Some previous studies show this seeming deviation from the law of one pri