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- W2353972594 abstract "Asset pricing is the core issue of security markets.The article,through MGARCH-M model,studies the effects of risks of the non-diversifiable market,the firm size and the book-to-market equity factors on time-varying risk premiums.The results show that the effect of the market risk is significant,and the size factor has more effect on risk premiums than the market factor and the bookto market equity factor has least effect on risk premiums.Further,risk premiums show dynamic features and the risk premiums of different portfolios vary much.After equity division reform,the discovery function of the stock market has been enhanced,and the changes of the risk premium and time-varying β can play important roles in investment portfolio construction and asset management." @default.
- W2353972594 created "2016-06-24" @default.
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- W2353972594 date "2010-01-01" @default.
- W2353972594 modified "2023-09-26" @default.
- W2353972594 title "Empirical Analysis of Dynamic Three-Factor Asset Pricing Models in China's Securities Markets" @default.
- W2353972594 hasPublicationYear "2010" @default.
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