Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2023.2186911
The nexus among maxing out effect and idiosyncratic volatility premium puzzle in China’s A Share Market under the background of ecoinnovation and sustainability
Xiaohui Chen
Jianhua Ye
Jinshuai Zhi
Han Yan
Hao Meng
Tingting Zhang
Yanjia Du
Sažetak
The paper investigates whether eco-innovation, sustainability, and
asset pricing effect of maximum daily return (maxing out effect),
truly and steadily exists in A share market of China and the nexus
among maxing out effect and idiosyncratic volatility in China’s A
Share Market. Regression analyses were conducted using the data
of listed companies in China’s A share market from July 1993 to
May 2021. The empirical results show that the maxing out effect,
eco-innovation and sustainability steadily exists in a sample country.
In practice, this research help to improve asset pricing efficiency,
provide high-quality materials for investor education,
guide arbitrage trading activities, and improve resource allocation
efficiency in the stock market
Ključne riječi
Ecco-innovation; sustainability; maxing out effect; idiosyncratic volatility
Hrčak ID:
314059
URI
Datum izdavanja:
28.3.2023.
Posjeta: 63 *