Left-tail risk in China

Fang Zhen, Xinfeng Ruan and Jin E. Zhang

Pacific-Basin Finance Journal, 2020, vol. 63, issue C

Abstract: Atilgan, Bali, Demirtas and Gunaydin (2020) find a significantly negative cross-sectional relation between left-tail risk and future returns on individual stock trading in the US and international developed countries. We explore this left-tail risk anomaly in the Chinese stock market, and find an economically and statistically significant relation between the risk and future returns. Stocks in China are more sensitive to left-tail risk than in the US with a higher risk exposure. This paper complements new evidence that higher left-tail risk is also associated with lower expected returns in China.

Keywords: Left-tail risk; Equity returns; China (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:63:y:2020:i:c:s0927538x20301797

DOI: 10.1016/j.pacfin.2020.101391

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