Record Details

A Contribution to Factor Model: A Firm Behavior Perspective

Advances in Social Sciences Research Journal

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Field Value
 
Title A Contribution to Factor Model: A Firm Behavior Perspective
 
Creator LIU, Yang
 
Subject Economics; Finance
volatility factor; relative risk aversion coefficient; internal rate of return
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Description This paper proposes a neglected factor determining the stock returns from the perspective of firmbehavior, i.e. the volatility of the asset of corresponding firms and thus contributes to the factor model.To this end, we model the wealth accumulation path of the firms and derive the relationship between risk premium and asset volatility. We document robust evidence that one standard deviation rise in volatility requires an increase of risk premium by 21.1%. Besides, we find that listed firms in China are more risk averse and required a higher return by investors than those in United States, and phenomena are more pronounced in non-state-owned enterprises and firms in competitive industries. These findings suggest that capital market in China is immature and too speculative, corresponding policy implications are thus derived. 
 
Publisher Advances in Social Sciences Research Journal
 
Contributor —
 
Date 2016-04-26
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://www.scholarpublishing.org/index.php/ASSRJ/article/view/1966
10.14738/assrj.34.1966
 
Source Advances in Social Sciences Research Journal; Vol 3, No 4 (2016): Advances in Social Sciences Research Journal
10.14738/assrj.34.2016
 
Language eng
 
Relation http://www.scholarpublishing.org/index.php/ASSRJ/article/view/1966/1140
 
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