Does realized skewness predict the cross-section of Chinese stock returns?
Yiming Dai, Yuexiang Jiang, Huaigang Long, Hui Wang, Adam Zaremba
| Year of publication: |
2023
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|---|---|
| Authors: | Dai, Yiming ; Jiang, Yuexiang ; Long, Huaigang ; Wang, Hui ; Zaremba, Adam |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 58.2023, 2, p. 1-10
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| Subject: | Asset pricing | Chinese stock market | Realized skewness | Relative signed jump variance | Return p redictability | Kapitaleinkommen | Capital income | China | Aktienmarkt | Stock market | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Aktienindex | Stock index |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2023.104363 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014583518