Value at risk and the cross-section of expected returns : evidence from China
Year of publication: |
2021
|
---|---|
Authors: | Gui, Pingshu ; Zhu, Yifeng |
Published in: |
Pacific-Basin finance journal. - Amsterdam [u.a.] : Elsevier, ISSN 0927-538X, ZDB-ID 1343420-2. - Vol. 66.2021, p. 1-21
|
Subject: | Consumer confidence | Cross-sectional relation | Equity returns | Value-at-risk | Risikomaß | Risk measure | Kapitaleinkommen | Capital income | China | Risikoprämie | Risk premium | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | CAPM |
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