Economic growth and equity returns : application to the chinese stock market

Mestrado em Economia Monetária e FinanceiraThis dissertation provides new insights on the estimation of the long run expected equity return in China, following the framework of Cornell (2010) on Economic Growth and Equity return, taking into consideration of convergence in economic growth, thus extending the research scope from mature countries to emerging market. We assess the period 1990-2017, explore the long run expected equity return in China, and we find that it should not be more than -0.5% over the long run.