Systematic risk, government policy intervention, and dynamic contrarian investments
详细信息 查看全文
- 作者：Jiapeng Liu ; Qizhi Tao ; taoqizhi@swufe.edu.cn" class="auth_mail" title="E-mail the corresponding author ; Wenxuan Hou ; Ting Zhang tzhang1@udayton.edu" class="auth_mail" title="E-mail the corresponding author
- 关键词：G01 ; G18 ; G11 ; C13
- 刊名：International Review of Economics & Finance
- 出版年：2016
- 出版时间：May 2016
- 年：2016
- 卷：43
- 期：Complete
- 页码：334-343
- 全文大小：4101 K
文摘
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We model contrarian investors' behaviors.
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The model incorporates their expectations of government policy risk.
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When policy risk is low, the optimal solution is to invest.
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When policy risk is high, the optimal investment decision is to exit.
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Simulation results are consistent with our model predictions.