Beware of the crash risk : tail beta and the cross-section of stock returns in China
Year of publication: |
2019
|
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Authors: | Long, Huaigang ; Zaremba, Adam ; Jiang, Yuexiang |
Published in: |
Applied economics. - New York, NY : Routledge, ISSN 1466-4283, ZDB-ID 1473581-7. - Vol. 51.2019, 44, p. 4870-4881
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Subject: | asset pricing | China | equity market | extreme value theory | low-risk anomaly | return predictability | systematic tail risk | tail beta | Kapitaleinkommen | Capital income | CAPM | Betafaktor | Beta risk | Börsenkurs | Share price | Risiko | Risk | Ausreißer | Outliers | Aktienmarkt | Stock market | Risikomaß | Risk measure | Finanzkrise | Financial crisis | Risikoprämie | Risk premium | Schätzung | Estimation | Finanzmarkt | Financial market | Kapitalmarktrendite | Capital market returns | Statistische Verteilung | Statistical distribution |
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