IEEE - Institute of Electrical and Electronics Engineers, Inc. - Quantile Regression Analysis of Cross-Section Returns in Chinese Stock Market

2010 International Forum on Information Technology and Applications (IFITA)

Author(s): Chen Jianbao ; Xu Yanping ; Cheng Tingting
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Publication Date: 1 July 2010
Conference Location: Kunming, China, China
Conference Date: 16 July 2010
Volume: 3
Page(s): 169 - 172
ISBN (Electronic): 978-1-4244-7622-0
ISBN (Paper): 978-1-4244-7621-3
DOI: 10.1109/IFITA.2010.193
Regular:

Based on the three-factor model (Fama and French, 1993) and two-stage FM method (Fama and Macbeth, 1973), this paper employs quantile regression technique to analyse the relationship between... View More

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