NDLI: A quantile-based empirical research of CAPM in China’s financial stocks

Content Provider	IEEE Xplore Digital Library
Author	Weng Ya-min Wang Xin-yu
Copyright Year	2008
Description	Author affiliation: Sch. of Manage., China Univ. of Min. & Technol., Xuzhou (Weng Ya-min; Wang Xin-yu)
Abstract	This dissertation tested whether the relationship between systematic risk and average returns of financial stocks in China consists with the CAPM(capital asset pricing model) theory, using the daily data of 2007 and comparing the method ordinary least square(OLS) with quantile regression. The result shows that, systematic risk is not the only determinant factor of financial stockspsila pricing in China, it contributes more for overperforming stocks than underperforming stocks. The influence of systematic risk is different for different stocks, for the value of beta is higher in overperforming stocks and lower in underperforming stocks. We also found that the risk-free rate should be negative. And beta is positively related to returns, but the increase of returns is obviously slower than the growth of systematic risk.
Starting Page	1264
Ending Page	1268
File Size	281258
Page Count	5
File Format	PDF
ISBN	9781424423873
DOI	10.1109/ICMSE.2008.4669070
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2008-09-10
Publisher Place	USA
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	empirical analysis capital asset pricing model (CAPM) Conference management Financial management financial stocks Regression analysis Asset management Risk analysis Technology management Engineering management Pricing quantile regression Risk management Testing systematic risk
Content Type	Text
Resource Type	Article

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
6	Contents and Copyright Issues	Queries related to content curation and copyright issues	content@ndl.gov.in
7	National Digital Library of India Club (NDLI Club)	Queries related to NDLI Club formation, support, user awareness program, seminar/symposium, collaboration, social media, promotion, and outreach	clubsupport@ndl.gov.in
8	Digital Preservation Centre (DPC)	Assistance with digitizing and archiving copyright-free printed books	dpc@ndl.gov.in
9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in

Reexamination of capital asset pricing model (CAPM): An application of quantile regression

Testing of Capital Assets Pricing Model (CAPM) in Cement Sector & Power Generation and Distribution Sector in Turkey

An Empirical Test of Capital Asset Pricing Model with reference to S&P BSE Sensex Index

Risk and Return — The Capital Asset Pricing Model (CAPM)

Testing Capital Asset Pricing Model: Empirical Evidences from Indian Equity Market

Stocks Investment Decision Making Capital Asset Pricing Model (CAPM)

Performance of Islamic Indices in Malaysia FTSE Market: Empirical Evidence from CAPM

Risk Contributions and Performance Measurement (2000)

Relationship between risk and return: an empirical test of the capital asset pricing model for Malaysian

A quantile-based empirical research of CAPM in China’s financial stocks

Similar Documents

Reexamination of capital asset pricing model (CAPM): An application of quantile regression

Testing of Capital Assets Pricing Model (CAPM) in Cement Sector & Power Generation and Distribution Sector in Turkey

An Empirical Test of Capital Asset Pricing Model with reference to S&P BSE Sensex Index

Risk and Return — The Capital Asset Pricing Model (CAPM)

Testing Capital Asset Pricing Model: Empirical Evidences from Indian Equity Market

Stocks Investment Decision Making Capital Asset Pricing Model (CAPM)

Performance of Islamic Indices in Malaysia FTSE Market: Empirical Evidence from CAPM

Risk Contributions and Performance Measurement (2000)

Relationship between risk and return: an empirical test of the capital asset pricing model for Malaysian

A quantile-based empirical research of CAPM in China’s financial stocks