Now showing items 1-2 of 2

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    Regime-switching housing price cycle in China 

    Lu, Xiaoman; Yuthana Sethapramote (National Institute of Development Administration, 2018)

    This paper aims to examine the house price cycle at the province level of China using the three-regime Markov-switching model. Our findings indicate that, in Xinjiang, Chongqing and Jiangsu, there was no secular slowdown in growth since the rapid-growth regime re-emerged at some stage. While during economic downturn and rapid economic growth, house prices fall and grow fastest, respectively, in the central region. However, during normal growth regime, house prices increase fastest in the eastern provinces. These findings indicate regional ...
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    Time-varying relation between corporate governance and expected stock return 

    Kakinuma, Yosuke; Kridsda Nimmanunta (National Institute of Development Administration, 2018)

    This paper provides the following three novel findings to the literature. First, the effects of the corporate governance ratings on stock returns are inconstant, non-liner, and time-varying over the long-run. Second, by taking advantage of the time-varying characteristics of expected returns from the quality of corporate governance, an optimal investment strategy with adaptation of Markov switching model is developed. Third, incorporation of style switching strategy with value premium in recessions and momentum premium in expansions improves ...