Beware of the crash risk: Tail beta and the cross-section of stock returns in China

Huaigang Long , Adam Zaremba , Yuexiang Jiang

Abstract

We investigate the pricing of systematic tail risk measured by tail beta in the Chinese equity market. Using an array of tests, we examine the performance of more than 3,300 stocks for the years 1999 through 2018. Contrary to evidence from developed markets, we demonstrate a strong negative relationship between the tail beta and future returns. The effect is robust to many considerations and cannot be explained by established pricing factors or alternative risk or illiquidity measures. We link our findings to specific characteristics of the Chinese stock market.
Author Huaigang Long - Zhejiang University, China
Huaigang Long,,
-
, Adam Zaremba (WZ / KIiRK)
Adam Zaremba,,
- Department of Investment and Capital Markets
, Yuexiang Jiang - Zhejiang University, China
Yuexiang Jiang,,
-
Journal seriesApplied Economics, ISSN 0003-6846, e-ISSN 1466-4283, (N/A 40 pkt)
Issue year2019
Vol51
No44
Pages4870-4881
Publication size in sheets0.55
Keywords in Polishsystematyczne ryzyko skrajne, beta skrajna, Chiny, rynek akcji, wycena aktywów, prognozowanie stóp zwrotu, anomalia niskiego ryzyka
Keywords in Englishsystematic tail risk, tail beta, extreme value theory, China, equity market, asset pricing, return predictability, low-risk anomaly
ASJC Classification2002 Economics and Econometrics
DOIDOI:10.1080/00036846.2019.1602717
URL https://www.tandfonline.com/doi/abs/10.1080/00036846.2019.1602717
Languageen angielski
Score (nominal)40
Score sourcejournalList
ScoreMinisterial score = 40.0, 03-04-2020, ArticleFromJournal
Publication indicators WoS Citations = 0; Scopus SNIP (Source Normalised Impact per Paper): 2018 = 0.781; WoS Impact Factor: 2017 = 0.75 (2) - 2017=0.906 (5)
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