Do stocks outperform bank deposits in China?

Jiexiang Huang, Wei Guo and Jin E. Zhang

Pacific-Basin Finance Journal, 2020, vol. 64, issue C

Abstract: This paper investigates whether stocks outperform risk-free assets in the US and China in terms of buy-and-hold returns over different horizons. We find that stock returns underperform the one-month bank deposit rate in the Chinese market, consistent with the finding of Bessembinder (2018) that the returns to the majority of common stocks are less than one-month Treasuries. The paper explores the important role of positive skewness in the distribution of individual stock returns, attributable to skewness in monthly returns. These results further emphasize the importance of portfolio diversification in the Chinese market.

Keywords: Individual stock returns; Return skewness; Buy-and-hold returns; Chinese market (search for similar items in EconPapers)
JEL-codes: G11 G23 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:64:y:2020:i:c:s0927538x20306764

DOI: 10.1016/j.pacfin.2020.101464

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