DocumentCode
2666797
Title
Empirical study on Chinese stock market noise trading risk premium
Author
Xiaoguang, Lu ; Li, Ma
Author_Institution
Bus. Sch., Hohai Univ., Nanjing, China
fYear
2010
fDate
17-19 Sept. 2010
Firstpage
117
Lastpage
121
Abstract
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.
Keywords
pricing; risk management; stock markets; BAPM; Chinese stock market; DVI formula; behavioral capital asset pricing model; bull market; development CAPM; dynamic volume index; noise trading risk premium; noise trading theory; Analytical models; Biological system modeling; Data models; Indexes; Noise; Portfolios; Stock markets; Development BAPM; median regression mode; modifier DVI formula; noise trading risk premium;
fLanguage
English
Publisher
ieee
Conference_Titel
Information and Financial Engineering (ICIFE), 2010 2nd IEEE International Conference on
Conference_Location
Chongqing
Print_ISBN
978-1-4244-6927-7
Type
conf
DOI
10.1109/ICIFE.2010.5609265
Filename
5609265
Link To Document