<p></p><p><strong><font size="4">Investment under event risk in china stock market: A theoretical analysis</font></strong></p><p>Accepted 25 January 2007</p><p><strong><font size="4">PDF 10页 文件数1</font></strong></p><p>Shanghai Jiao Tong University,Mingchao Cai</p><p>Renmin University of China,Yongxiang Wang</p><p>University of International Business and Economics,Weixing Wu</p><p>We model investors' optimal portfolio policy in the case of potential event risk (circulation of State-owned<br/>Equities) in China stock market, and derive a Liquidity-based Asset Pricing Model.We show that the potential<br/>event risk deters some investors from entering the market, leading to a thin stock market. Some implications<br/>of the model are derived.</p>

[此贴子已经被wesker1999于2007-11-25 13:32:16编辑过]