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Left-tail risk in China

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  • Zhen, Fang
  • Ruan, Xinfeng
  • Zhang, Jin E.

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.

Suggested Citation

  • Zhen, Fang & Ruan, Xinfeng & Zhang, Jin E., 2020. "Left-tail risk in China," Pacific-Basin Finance Journal, Elsevier, vol. 63(C).
    • Handle: RePEc:eee:pacfin:v:63:y:2020:i:c:s0927538x20301797
    DOI: 10.1016/j.pacfin.2020.101391
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    References listed on IDEAS

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