股价波动的长记忆性与横截面股票收益——基于中国市场的实证研究

doi:10.16381/j.cnki.issn1003-207x.2020.1410

Abstract

Abstract: Long memory processes are time series with long-range dependence and exist in numerous fields such as physics, hydrology, economics and finance. Long memory processes have drawn extensive attention from academics and practitioners since Hurst (1951). However, most of the existing studies have analyzed the long memory only in the time-series dimension. To the best of our knowledge, it is the first to examine the relationship between long memory volatility and expected returns in Chinese stock market from cross-sectional perspective.

Key words: long memory; risk premium; asset pricing

CLC Number:

F830.91

CHEN Miao-xin, HUANG Zhen-wei. Long Memory Volatility and Cross-section Stock Returns: Empirical Research in Chinese Stock Market[J]. Chinese Journal of Management Science, 2023, 31(4): 1-10.

References

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Long Memory Volatility and Cross-section Stock Returns: Empirical Research in Chinese Stock Market

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