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The existing measurement analysis methods used to study the relationship between monetary policies and the stock market just take macro-historical data into account and do not consider micro-individual differences as well. This article overcomes these shortcomings by using Agent-based method. We simulate different micro-individual behaviors and then construct an artificial stock market in the computer...
Standard asset pricing models suggest that only systematic risk factors affect the expected returns of stocks. Using the data of Chinese stock markets from 2000 to 2006, this paper estimates the default risks implied in stock prices by structure model, tests whether the expected returns of stocks are related with implied default risks, and examines whether the default risk is a systematic risk factor...
Empirical findings from Baker, Stein and Wurgler(2003) for the sample of U.S. firms and Wei, Yuanto (2006) for an international sample of 42 countries (except China) suggest that corporate investment is positively correlated with stock prices. Following Baker et al. (2003), we investigate the relationship between corporate investment and stock prices in the capital market in China on a sample period...
The performances of currency hedging across major markets under different constraints are compared, using method of mean-variance portfolio selection. The test results show that the hedging performance changes in different economic areas. For instance, it performs better in European markets, especially when the investor has high risk appetite, but has not significant advantage in Asian markets, especially...
We use the methods and indexes according to the paper published in 2003 written by Baker, Stein and Wurgler, which does empirical work for the American capital market. By studying the data from financial statements of 66 listed real estate companies, we can obtain: strong equity-dependent companies have a sensitivity of investment to stock price that is 3.33 times as large as weak equity-dependent...
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