陳 潔ティン (チェン ジェティン)

写真a

所属

商学学術院 ビジネス・ファイナンス研究センター

職名

助教

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  • 商学学術院   大学院経営管理研究科

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  •  
     
     

    早稲田大学

 

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  • Dissecting Anomalies under a Time-Varying Risk-Return Relationship

    2020年  

     概要を見る

    Based on a non-linear asset-pricing theory, we assume a stochastic investment opportunity set and both risk premium and risk loadings follow the first-order Markov process. Therefore, a theoretical time-varying factor model, which allows both risk premium and risk loadings vary through time, is obtained. We then adopt individual stock data from China and US to investigate the regime-dependent risk premium and correspondingly time-varying betas. We identify the states for each market and illustrate the dynamic risk patterns across the two markets. 

  • Anomalies and A Time-Varying Risk-Return Relationship

    2018年  

     概要を見る

    I propose a Markov regime-switching asset-pricing model and investigate the asymmetric risk-return relationship under different regimes for the Chinese stock market. It is found that the Chinese stock market has two significant regimes: a persistent bear market and a bull market. In regime 1, the risk premiums on common risk factors were relatively higher and consistent with the hypothesis that investors require more compensation for taking the same amount of risks in a bear regime when there is a higher risk-aversion level. Moreover, return dispersions among the Fama–French 25 portfolios can be captured by the beta patterns from our proposed Markov regime-switching Fama–French three-factor model, implying that a positive risk-return relationship holds in regime 1. On the contrary, in regime 2, when lower risk premiums could be observed, portfolios with a big size or low book-to-market ratio undertook higher risk loadings, implying that the stocks that used to be known as “good” stocks were much riskier in a bull market. Thus, a risk-return relationship followed other patterns in this period.

 

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