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| Title | The competitions of time-varying and constant loadings in asset pricing models: empirical evidence and agent-based simulations |
| Creator | 陳樹衡 Chen, Shu-Heng;Lin, Hung-Wen;Huang, Jing-Bo;Lin, Kun-Ben |
| Contributor | 經濟系 |
| Key Words | Asset pricing models; Momentum trader; Time-varying loadings; Trader beliefs |
| Date | 2022-04 |
| Date Issued | 29-Apr-2024 14:18:26 (UTC+8) |
| Summary | Under two frameworks of cross-section and time-series factors, we implement asset pricing models to dissect the abnormal returns in the Chinese stock market. Our findings indicate that the model using the earnings-to-price factor outperforms the model using the book-to-market factor in the framework of cross-section factors. Moreover, we further compare the time-varying loadings with constant loadings in the asset pricing models. Existing research has implied the outperformance of time-varying loadings in the US market. However, we consider the effects of backdoor listings in the Chinese stock market. Our evidence documents that the time-varying loading factor model cannot perfectly surpass the constant loading model. Our agent-based simulations indicate that such a finding originates from the static collective behaviors and stable beliefs of the Chinese traders. |
| Relation | Journal of Economic Interaction and Coordination, Vol.17, No.2, pp.577-612 |
| Type | article |
| DOI | https://doi.org/10.1007/s11403-021-00337-2 |
| dc.contributor | 經濟系 | |
| dc.creator (作者) | 陳樹衡 | |
| dc.creator (作者) | Chen, Shu-Heng;Lin, Hung-Wen;Huang, Jing-Bo;Lin, Kun-Ben | |
| dc.date (日期) | 2022-04 | |
| dc.date.accessioned | 29-Apr-2024 14:18:26 (UTC+8) | - |
| dc.date.available | 29-Apr-2024 14:18:26 (UTC+8) | - |
| dc.date.issued (上傳時間) | 29-Apr-2024 14:18:26 (UTC+8) | - |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/150983 | - |
| dc.description.abstract (摘要) | Under two frameworks of cross-section and time-series factors, we implement asset pricing models to dissect the abnormal returns in the Chinese stock market. Our findings indicate that the model using the earnings-to-price factor outperforms the model using the book-to-market factor in the framework of cross-section factors. Moreover, we further compare the time-varying loadings with constant loadings in the asset pricing models. Existing research has implied the outperformance of time-varying loadings in the US market. However, we consider the effects of backdoor listings in the Chinese stock market. Our evidence documents that the time-varying loading factor model cannot perfectly surpass the constant loading model. Our agent-based simulations indicate that such a finding originates from the static collective behaviors and stable beliefs of the Chinese traders. | |
| dc.format.extent | 106 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | Journal of Economic Interaction and Coordination, Vol.17, No.2, pp.577-612 | |
| dc.subject (關鍵詞) | Asset pricing models; Momentum trader; Time-varying loadings; Trader beliefs | |
| dc.title (題名) | The competitions of time-varying and constant loadings in asset pricing models: empirical evidence and agent-based simulations | |
| dc.type (資料類型) | article | |
| dc.identifier.doi (DOI) | 10.1007/s11403-021-00337-2 | |
| dc.doi.uri (DOI) | https://doi.org/10.1007/s11403-021-00337-2 |