The Aumann-Serrano risk factor and asset pricing: evidence from the Chinese A-share market

Jianhua Gang, Zongxin Qian and Fan Chen

Quantitative Finance, 2019, vol. 19, issue 10, 1599-1608

Abstract: Empirical evidence shows that a single-factor model using the Aumann-Serrano riskiness index dominates both the CAPM and Fama-French three-factor model because the index captures information on higher-order moments

Date: 2019
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DOI: 10.1080/14697688.2019.1605187

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