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CommonID:DIR_70691612,ID:10864552,SiteID:14,Type:formerAidText,Code:null,ParentId:0,InnerCode:638716,name:文前辅文,ShortName:null,SubName:null,EnTitle:null,EnShortTitle:null,EnSubTitle:null,Level:0,BookId:10864271,AbstractCH:null,AbstractEN:null,KeyWords:null,EKeyWords:null,SubjectWords:null,LiteratureId:10864551,Fileref:null,OrderFlag:0,IsLeaf:Y,PubDate:null,FindDate:null,IssueDate:null,DocType:null,ProductSeries:null,Doi:null,InstanceID:0,MinNodeSearch:null,XmlID:null,Prop1:null,Prop2:null,Prop3:null,prop4:null,AddUser:jiangshan,AddTime:2019-05-09 13:21:11.0,ModifyUser:Admin,ModifyTime:2021-11-03 03:43:51.0,HitCount:0,ShowType:putong,LogoID:0,PdfID:0,DownCount:0,AuthorInfos:null,BookPublishDate:2019-04-01 00:00:00.0,SearchTitle:文前辅文,ISBN:978-7-5201-4479-7,BookTitle:股票市场收益率的可预测性：基于中国股票市场的实证研究,BookStatus:7,AllowDownload:Y,BookVersionNum:null,researchorg:null,CopyRightDate:null,ExcellentPeriod:null,PrizeLevel:null,IsExcellence:null,ContentClass:null,IsDisabled:N,SearchTitle_2:文前辅文,_RowNo:1

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CommonID:DIR_70691617,ID:10864564,SiteID:14,Type:formerAidText,Code:null,ParentId:0,InnerCode:638721,name:List of Appendices,ShortName:null,SubName:null,EnTitle:null,EnShortTitle:null,EnSubTitle:null,Level:0,BookId:10864271,AbstractCH:null,AbstractEN:null,KeyWords:null,EKeyWords:null,SubjectWords:null,LiteratureId:10864563,Fileref:null,OrderFlag:0,IsLeaf:Y,PubDate:null,FindDate:null,IssueDate:null,DocType:null,ProductSeries:null,Doi:null,InstanceID:0,MinNodeSearch:null,XmlID:null,Prop1:null,Prop2:null,Prop3:null,prop4:null,AddUser:jiangshan,AddTime:2019-05-09 13:21:11.0,ModifyUser:Admin,ModifyTime:2021-11-03 03:43:51.0,HitCount:0,ShowType:putong,LogoID:0,PdfID:0,DownCount:0,AuthorInfos:null,BookPublishDate:2019-04-01 00:00:00.0,SearchTitle:List of Appendices,ISBN:978-7-5201-4479-7,BookTitle:股票市场收益率的可预测性：基于中国股票市场的实证研究,BookStatus:7,AllowDownload:Y,BookVersionNum:null,researchorg:null,CopyRightDate:null,ExcellentPeriod:null,PrizeLevel:null,IsExcellence:null,ContentClass:null,IsDisabled:N,SearchTitle_2:List of Appendices,_RowNo:6

CommonID:DIR_70691618,ID:10864566,SiteID:14,Type:chapter,Code:null,ParentId:0,InnerCode:638722,name:Chapter 1 Introduction,ShortName:,SubName:,EnTitle:,EnShortTitle:,EnSubTitle:,Level:0,BookId:10864271,AbstractCH:This research examines the predictability of equity market performance in China while allowing for model instability. It attempts to provide insights into the behavior of the mainland equity markets in China by examining the forecasting ability of predictor variables on both equity market downturns and equity market returns.,AbstractEN:,KeyWords:488054,488060,437051,EKeyWords:,SubjectWords:,LiteratureId:10864565,Fileref:null,OrderFlag:0,IsLeaf:N,PubDate:null,FindDate:null,IssueDate:null,DocType:null,ProductSeries:null,Doi:null,InstanceID:0,MinNodeSearch:Y,XmlID:b120190402X20186758001_001,Prop1:null,Prop2:null,Prop3:null,prop4:null,AddUser:jiangshan,AddTime:2019-05-09 13:21:11.0,ModifyUser:Admin,ModifyTime:2021-11-03 03:43:51.0,HitCount:31,ShowType:putong,LogoID:0,PdfID:10864568,DownCount:8,AuthorInfos:,BookPublishDate:2019-04-01 00:00:00.0,SearchTitle:Introduction of Equity market return predictability,ISBN:978-7-5201-4479-7,BookTitle:股票市场收益率的可预测性：基于中国股票市场的实证研究,BookStatus:7,AllowDownload:Y,BookVersionNum:null,researchorg:null,CopyRightDate:null,ExcellentPeriod:null,PrizeLevel:null,IsExcellence:null,ContentClass:null,IsDisabled:N,SearchTitle_2:Introduction of Equity market return predictability,_RowNo:7

CommonID:DIR_70691624,ID:10864571,SiteID:14,Type:chapter,Code:null,ParentId:0,InnerCode:638723,name:Chapter 2 The Chinese Equity Market：Historical Development and Characteristics,ShortName:,SubName:,EnTitle:,EnShortTitle:,EnSubTitle:,Level:0,BookId:10864271,AbstractCH:The purpose of this chapter is to provide an overview of the Chinese equity market. It is of particular importance because it sets the context for a more complete examination later in the book of the key issues for equity return predictability，such as market timing activity and trading strategies. For example，the large movements in the Chinese equity market as shown in Section 2.2.2.1 indicates that market timing may add value to the investment management process，which is corroborated by the empirical evidence in Chapter 6. Further discussion on the importance of this chapter to the overall research will be made in later sections.,AbstractEN:,KeyWords:488060,140404,488065,EKeyWords:,SubjectWords:,LiteratureId:10864570,Fileref:null,OrderFlag:0,IsLeaf:N,PubDate:null,FindDate:null,IssueDate:null,DocType:null,ProductSeries:null,Doi:null,InstanceID:0,MinNodeSearch:Y,XmlID:b120190402X20186758001_002,Prop1:null,Prop2:null,Prop3:null,prop4:null,AddUser:jiangshan,AddTime:2019-05-09 13:21:11.0,ModifyUser:Admin,ModifyTime:2021-11-03 03:43:51.0,HitCount:19,ShowType:putong,LogoID:0,PdfID:10864572,DownCount:5,AuthorInfos:,BookPublishDate:2019-04-01 00:00:00.0,SearchTitle:The Chinese Equity Market：Historical Development and Characteristics,ISBN:978-7-5201-4479-7,BookTitle:股票市场收益率的可预测性：基于中国股票市场的实证研究,BookStatus:7,AllowDownload:Y,BookVersionNum:null,researchorg:null,CopyRightDate:null,ExcellentPeriod:null,PrizeLevel:null,IsExcellence:null,ContentClass:null,IsDisabled:N,SearchTitle_2:The Chinese Equity Market：Historical Development and Characteristics,_RowNo:8

CommonID:DIR_70691648,ID:10864574,SiteID:14,Type:chapter,Code:null,ParentId:0,InnerCode:638724,name:Chapter 3 Academic Literature on the Chinese Equity Market,ShortName:,SubName:,EnTitle:,EnShortTitle:,EnSubTitle:,Level:0,BookId:10864271,AbstractCH:The chapter begins with a review of the general studies on equity pricing factors，including the price determinants of domestic A-shares and the price differentials between A- and B-shares. The focus then moves on to studies that investigate the relationships between the Chinese and global equity markets and subsequently the relationships among the various Chinese equity markets. Finally，by examining studies that test the efficient market hypothesis，it allows us to focus on the results of studies that examine whether the market is truly efficient.,AbstractEN:,KeyWords:488060,488083,488086,488088,184533,EKeyWords:,SubjectWords:,LiteratureId:10864573,Fileref:null,OrderFlag:0,IsLeaf:N,PubDate:null,FindDate:null,IssueDate:null,DocType:null,ProductSeries:null,Doi:null,InstanceID:0,MinNodeSearch:Y,XmlID:b120190402X20186758001_003,Prop1:null,Prop2:null,Prop3:null,prop4:null,AddUser:jiangshan,AddTime:2019-05-09 13:21:11.0,ModifyUser:Admin,ModifyTime:2021-11-03 03:43:51.0,HitCount:15,ShowType:putong,LogoID:0,PdfID:10864575,DownCount:7,AuthorInfos:,BookPublishDate:2019-04-01 00:00:00.0,SearchTitle:Academic Literature on the Chinese Equity Market,ISBN:978-7-5201-4479-7,BookTitle:股票市场收益率的可预测性：基于中国股票市场的实证研究,BookStatus:7,AllowDownload:Y,BookVersionNum:null,researchorg:null,CopyRightDate:null,ExcellentPeriod:null,PrizeLevel:null,IsExcellence:null,ContentClass:null,IsDisabled:N,SearchTitle_2:Academic Literature on the Chinese Equity Market,_RowNo:9

CommonID:DIR_70691672,ID:10864577,SiteID:14,Type:chapter,Code:null,ParentId:0,InnerCode:638725,name:Chapter 4 Equity Market Returns and Predictor Variables：Theoretical Explanations and Empirical Evidence,ShortName:,SubName:,EnTitle:,EnShortTitle:,EnSubTitle:,Level:0,BookId:10864271,AbstractCH:This chapter reviews the prior studies that examine the relationships between predictor variables and equity returns. As such it sets the context for candidate predictor variables used to forecast equity market performance later in the book. The remainder of the chapter is laid out as follows：Section 4.1 simply describes the standard dividend discount model. Section 4.2 attempts to relate potential variables to equity returns without questioning the assumption of model stability whereas Section 4.3 accounts for the impact of model instability. Section 4.4 summarises and concludes.,AbstractEN:,KeyWords:487999,488111,488114,EKeyWords:,SubjectWords:,LiteratureId:10864576,Fileref:null,OrderFlag:0,IsLeaf:N,PubDate:null,FindDate:null,IssueDate:null,DocType:null,ProductSeries:null,Doi:null,InstanceID:0,MinNodeSearch:Y,XmlID:b120190402X20186758001_004,Prop1:null,Prop2:null,Prop3:null,prop4:null,AddUser:jiangshan,AddTime:2019-05-09 13:21:11.0,ModifyUser:Admin,ModifyTime:2021-11-03 03:43:51.0,HitCount:16,ShowType:putong,LogoID:0,PdfID:10864578,DownCount:5,AuthorInfos:,BookPublishDate:2019-04-01 00:00:00.0,SearchTitle:Equity Market Returns and Predictor Variables：Theoretical Explanations and Empirical Evidence,ISBN:978-7-5201-4479-7,BookTitle:股票市场收益率的可预测性：基于中国股票市场的实证研究,BookStatus:7,AllowDownload:Y,BookVersionNum:null,researchorg:null,CopyRightDate:null,ExcellentPeriod:null,PrizeLevel:null,IsExcellence:null,ContentClass:null,IsDisabled:N,SearchTitle_2:Equity Market Returns and Predictor Variables：Theoretical Explanations and Empirical Evidence,_RowNo:10

CommonID:DIR_70691691,ID:10864580,SiteID:14,Type:chapter,Code:null,ParentId:0,InnerCode:638726,name:Chapter 5 Data and Methodology,ShortName:,SubName:,EnTitle:,EnShortTitle:,EnSubTitle:,Level:0,BookId:10864271,AbstractCH:This chapter discusses the data and the methodology employed in undertaking the empirical work presented in Chapter 6 and Chapter 7 and is structured as follows：Section 5.1 describes the data for the equity and the bond market indices and the candidate predictor variables used in this study. Section 5.2 deals with the methodology employed in Chapter 6，which is used to examine what variables are important to forecast equity market downturns in China，how effective and how robust the corresponding market timing strategies are，whether there is any presence of model instability and how important this is to market timing activity. Section 5.3 describes the methodology employed in Chapter 7，which is used to investigate what predictive regression models are useful for forecasting equity market returns in China，how sensitive parameter estimates are to general data problems （including outliers，heteroskedasticity，and serial correlation），whether these models have undergone structural instability，where （i.e.，what date） they may have changed，and how instability affects the degree of return predictability. Section 5.4 summarises and concludes.,AbstractEN:,KeyWords:417189,488060,488129,EKeyWords:,SubjectWords:,LiteratureId:10864579,Fileref:null,OrderFlag:0,IsLeaf:N,PubDate:null,FindDate:null,IssueDate:null,DocType:null,ProductSeries:null,Doi:null,InstanceID:0,MinNodeSearch:Y,XmlID:b120190402X20186758001_005,Prop1:null,Prop2:null,Prop3:null,prop4:null,AddUser:jiangshan,AddTime:2019-05-09 13:21:11.0,ModifyUser:Admin,ModifyTime:2021-11-03 03:43:51.0,HitCount:45,ShowType:putong,LogoID:0,PdfID:10864582,DownCount:19,AuthorInfos:,BookPublishDate:2019-04-01 00:00:00.0,SearchTitle:Data and Methodology,ISBN:978-7-5201-4479-7,BookTitle:股票市场收益率的可预测性：基于中国股票市场的实证研究,BookStatus:7,AllowDownload:Y,BookVersionNum:null,researchorg:null,CopyRightDate:null,ExcellentPeriod:null,PrizeLevel:null,IsExcellence:null,ContentClass:null,IsDisabled:N,SearchTitle_2:Data and Methodology,_RowNo:11

CommonID:DIR_70691741,ID:10864585,SiteID:14,Type:chapter,Code:null,ParentId:0,InnerCode:638727,name:Chapter 6 Equity Market Downturn Predictability and Model Instability,ShortName:,SubName:,EnTitle:,EnShortTitle:,EnSubTitle:,Level:0,BookId:10864271,AbstractCH:The purpose of this chapter is to investigate equity market downturn predictability both statistically and economically by formulating market timing strategies using data from China，which provides an exceptional opportunity given the market’s unusual performance and excessive volatility as described in Chapter 2. Furthermore，it explores the presence of model instability and its effect on market timing activity. The chapter is organised as follows. Section 6.1 provides descriptive statistics for the Chinese equity market over the study period. In Section 6.2，the relationships between all of the predictor variables （see earlier Sections 5.1.2 to 5.1.4） and excess market returns for the study period，as well as the relationships amongst the predictor variables themselves，are examined allowing for the selection of a smaller number of predictor variables for further analysis. The performance of the prediction model （see Section 5.2.1） is examined statistically and economically in Section 6.3. Robustness tests are outlined in Section 6.4. Section 6.5 checks for the presence of model instability and its effect on the economic performance of the model. Finally，Section 6.6 concludes the chapter.,AbstractEN:,KeyWords:488165,488172,488178,EKeyWords:,SubjectWords:,LiteratureId:10864584,Fileref:null,OrderFlag:0,IsLeaf:N,PubDate:null,FindDate:null,IssueDate:null,DocType:null,ProductSeries:null,Doi:null,InstanceID:0,MinNodeSearch:Y,XmlID:b120190402X20186758001_006,Prop1:null,Prop2:null,Prop3:null,prop4:null,AddUser:jiangshan,AddTime:2019-05-09 13:21:12.0,ModifyUser:Admin,ModifyTime:2021-11-03 03:43:51.0,HitCount:20,ShowType:putong,LogoID:0,PdfID:10864586,DownCount:7,AuthorInfos:,BookPublishDate:2019-04-01 00:00:00.0,SearchTitle:Equity Market Downturn Predictability and Model Instability,ISBN:978-7-5201-4479-7,BookTitle:股票市场收益率的可预测性：基于中国股票市场的实证研究,BookStatus:7,AllowDownload:Y,BookVersionNum:null,researchorg:null,CopyRightDate:null,ExcellentPeriod:null,PrizeLevel:null,IsExcellence:null,ContentClass:null,IsDisabled:N,SearchTitle_2:Equity Market Downturn Predictability and Model Instability,_RowNo:12

CommonID:DIR_70691761,ID:10864588,SiteID:14,Type:chapter,Code:null,ParentId:0,InnerCode:638728,name:Chapter 7 Equity Market Return Predictability and Model Instability,ShortName:,SubName:,EnTitle:,EnShortTitle:,EnSubTitle:,Level:0,BookId:10864271,AbstractCH:The chapter is laid out as follows：Section 7.1 presents summary statistics for Chinese equity markets for the period January 1993 （01.1993） to May 2010 （05.2010）. To deal with issues around model selection，Section 7.2 presents linear regressions of equity market returns on a pool of predictor variables using a stepwise procedure and examines the robustness of the resulting models. Section 7.3 estimates break dates based on the least-squares principle and conducts parameter stability tests. Furthermore，it also deals with the determination of the number of breaks and the statistical analysis of parameter estimates. Section 7.4 concludes the chapter.,AbstractEN:,KeyWords:488204,132128,488210,488222,488060,EKeyWords:,SubjectWords:,LiteratureId:10864587,Fileref:null,OrderFlag:0,IsLeaf:N,PubDate:null,FindDate:null,IssueDate:null,DocType:null,ProductSeries:null,Doi:null,InstanceID:0,MinNodeSearch:Y,XmlID:b120190402X20186758001_007,Prop1:null,Prop2:null,Prop3:null,prop4:null,AddUser:jiangshan,AddTime:2019-05-09 13:21:12.0,ModifyUser:Admin,ModifyTime:2021-11-03 03:43:51.0,HitCount:14,ShowType:putong,LogoID:0,PdfID:10864589,DownCount:7,AuthorInfos:,BookPublishDate:2019-04-01 00:00:00.0,SearchTitle:Equity Market Return Predictability and Model Instability,ISBN:978-7-5201-4479-7,BookTitle:股票市场收益率的可预测性：基于中国股票市场的实证研究,BookStatus:7,AllowDownload:Y,BookVersionNum:null,researchorg:null,CopyRightDate:null,ExcellentPeriod:null,PrizeLevel:null,IsExcellence:null,ContentClass:null,IsDisabled:N,SearchTitle_2:Equity Market Return Predictability and Model Instability,_RowNo:13

CommonID:DIR_70691776,ID:10864591,SiteID:14,Type:chapter,Code:null,ParentId:0,InnerCode:638729,name:Chapter 8 Summary，Discussion and Conclusion,ShortName:,SubName:,EnTitle:,EnShortTitle:,EnSubTitle:,Level:0,BookId:10864271,AbstractCH:The research undertaken in this book focuses on the returns to three main equity indices in China，including the SHA and the SHC on the SHSE，and the SZC on the SZSE. An 18-year sample period from January 1993 （01.1993） to May 2010 （05.2010） allows for a wide-ranging investigation into the return behavior of the three indices on a stand-alone and comparative basis. The research contributes to the extant studies on aggregate equity performance in emerging markets as it provides： • An examination of forecasting aggregate equity performance in China from the perspective of both market downturns and market returns. • An investigation of the ability of predictor variables，as both theoretically and empirically suggested，to forecast equity market downturns using the methodology proposed in Shen （2003） by formulating easy-to-implement market timing strategies. • An evaluation of the potential importance of structural breaks on market timing activity by comparing the results using the fixed rolling and the expanding window methods. • An investigation of the occurrence and the size of structural breaks in linear predictive regression models using the methodology proposed in Bai and Perron （1998，2003） by extending earlier stability tests in several directions to allow for multiple breaks，heteroskedasticity and serial correlation. • An estimation of the statistical significance of structural breaks on forecasting through examining the impact of breaks on the predictability of regression models.,AbstractEN:,KeyWords:488258,487999,488114,EKeyWords:,SubjectWords:,LiteratureId:10864590,Fileref:null,OrderFlag:0,IsLeaf:N,PubDate:null,FindDate:null,IssueDate:null,DocType:null,ProductSeries:null,Doi:null,InstanceID:0,MinNodeSearch:Y,XmlID:b120190402X20186758001_008,Prop1:null,Prop2:null,Prop3:null,prop4:null,AddUser:jiangshan,AddTime:2019-05-09 13:21:12.0,ModifyUser:Admin,ModifyTime:2021-11-03 03:43:51.0,HitCount:23,ShowType:putong,LogoID:0,PdfID:10864592,DownCount:7,AuthorInfos:,BookPublishDate:2019-04-01 00:00:00.0,SearchTitle:Summary，Discussion and Conclusion of Chinese Equity Market Returns,ISBN:978-7-5201-4479-7,BookTitle:股票市场收益率的可预测性：基于中国股票市场的实证研究,BookStatus:7,AllowDownload:Y,BookVersionNum:null,researchorg:null,CopyRightDate:null,ExcellentPeriod:null,PrizeLevel:null,IsExcellence:null,ContentClass:null,IsDisabled:N,SearchTitle_2:Summary，Discussion and Conclusion of Chinese Equity Market Returns,_RowNo:14

CommonID:DIR_70691782,ID:10864594,SiteID:14,Type:backAidText,Code:null,ParentId:0,InnerCode:638730,name:Appendices,ShortName:null,SubName:null,EnTitle:null,EnShortTitle:null,EnSubTitle:null,Level:0,BookId:10864271,AbstractCH:null,AbstractEN:null,KeyWords:null,EKeyWords:null,SubjectWords:null,LiteratureId:10864593,Fileref:null,OrderFlag:0,IsLeaf:Y,PubDate:null,FindDate:null,IssueDate:null,DocType:null,ProductSeries:null,Doi:null,InstanceID:0,MinNodeSearch:null,XmlID:null,Prop1:null,Prop2:null,Prop3:null,prop4:null,AddUser:jiangshan,AddTime:2019-05-09 13:21:13.0,ModifyUser:Admin,ModifyTime:2021-11-03 03:43:51.0,HitCount:0,ShowType:putong,LogoID:0,PdfID:0,DownCount:0,AuthorInfos:null,BookPublishDate:2019-04-01 00:00:00.0,SearchTitle:Appendices,ISBN:978-7-5201-4479-7,BookTitle:股票市场收益率的可预测性：基于中国股票市场的实证研究,BookStatus:7,AllowDownload:Y,BookVersionNum:null,researchorg:null,CopyRightDate:null,ExcellentPeriod:null,PrizeLevel:null,IsExcellence:null,ContentClass:null,IsDisabled:N,SearchTitle_2:Appendices,_RowNo:15