Value at risk and the cross-section of expected returns: Evidence from China

Pingshu Gui and Yifeng Zhu

Pacific-Basin Finance Journal, 2021, vol. 66, issue C

Abstract: In the Chinese stock market, we find that the cross-sectional relation between value-at-risk (VaR) and expected returns is unclear, which is different from the recent findings in the United States. Additionally, VaR is negatively related with expected returns and cannot be explained by idiosyncratic volatility, momentum, short-term reversal, or maximum daily return during a high consumer confidence period. In contrast, no significant relation is observed between VaR and expected returns during a period of low consumer confidence.

Keywords: Value-at-risk; Cross-sectional relation; Equity returns; Consumer confidence (search for similar items in EconPapers)
JEL-codes: G11 G12 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0927538X21000056
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:66:y:2021:i:c:s0927538x21000056

DOI: 10.1016/j.pacfin.2021.101498

Access Statistics for this article

Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee

More articles in Pacific-Basin Finance Journal from Elsevier
Bibliographic data for series maintained by Catherine Liu ().