Beware of the crash risk : tail beta and the cross-section of stock returns in China
Huaigang Long, Adam Zaremba and Yuexiang Jiang
| Year of publication: |
2019
|
|---|---|
| Authors: | Long, Huaigang ; Zaremba, Adam ; Jiang, Yuexiang |
| Subject: | asset pricing | China | equity market | extreme value theory | low-risk anomaly | return predictability | systematic tail risk | tail beta | Kapitaleinkommen | Capital income | Betafaktor | Beta risk | CAPM | Finanzkrise | Financial crisis | Portfolio-Management | Portfolio selection | Börsenkurs | Share price | Aktienmarkt | Stock market | Ausreißer | Outliers | Kapitalmarktrendite | Capital market returns | Risiko | Risk | Statistische Verteilung | Statistical distribution | Finanzmarkt | Financial market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2019.1602717 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012197122