The equity mispricing: Evidence from China's stock market

摘要

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. (C) 2016 Published by Elsevier B.V.