Earticle

초록

영어

This study evaluates the relative importance of cash-flow news and discount-rate news based on the log-linear model for pan-Chinese stock markets (i.e., China, Hong Kong, and Taiwan). Although they belong to the same cultural region, they have different capital market regulations and practices. In this context, we find that the discount-rate beta is bad in Hong Kong and Taiwan, while the cash-flow beta is bad in China. These findings are consistent with each market’s ownership structure, dividend policy, and tax system. However, as in the U.S., risk premiums are significantly higher in down markets than in up markets.

목차

ABSTRACT
 1. Introduction
 2. Literature review
 3. Data and methodology
  3.1 Data
  3.2 Measuring cash-flow and discount-rate betas
  3.3 Market status and asset pricing test
 4. Empirical evidence
  4.1 Selection of state variables and estimation of VARs
  4.2 Patterns of cash-flow and discount-rate betas
  4.3 Pricing unconditional cash-flow and discount-rate betas
  4.4 Pricing conditional cash-flow and discount-rate betas
 5. Conclusions
 Reference

키워드

저자

• Ming Wu [ College of Business Pusan National University ]
• Kiyool Ohk [ College of Business Pusan National University ]
• Kwangsoo Ko [ College of Business Pusan National University ] Corresponding author

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330