Is tail risk priced in the cross-section of Chinese mutual fund returns?
Liuyong Yang, Yijia Long, Huaigang Long, Adam Zaremba, Wenyu Zhou
| Year of publication: |
2022
|
|---|---|
| Authors: | Yang, Liuyong ; Long, Yijia ; Long, Huaigang ; Zaremba, Adam ; Zhou, Wenyu |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 50.2022, p. 1-8
|
| Subject: | Asset pricing | Tail risk | Chinese mutual funds | Fund characteristics | Tail risk betas | Investmentfonds | Investment Fund | Kapitaleinkommen | Capital income | China | Portfolio-Management | Portfolio selection | Betafaktor | Beta risk | Risiko | Risk | CAPM | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2022.103298 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014245291