The equity mispricing: Evidence from China's stock market

Dehong Liu, Hongmei Gu and Peter Lung

Pacific-Basin Finance Journal, 2016, vol. 39, issue C, 211-223

Abstract: This paper examines the equity mispricing in China's stock market. We measure China's equity mispricing based on the fundamental market-to-book value ratio. As we break down the equity bubble into two components—the earnings mispricing and the required-return mispricing—we find that the Chinese stock bubble is attributed to investors' required-return mispricing. This finding is consistent with the time-varying risk preference estimated by a GARCH-M model.

Keywords: Equity bubbles; Mispricing; Asset pricing; GARCH-M (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:39:y:2016:i:c:p:211-223

DOI: 10.1016/j.pacfin.2016.06.007

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