Chiang, Thomas C.; Zhang, Yuanqing - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-22
aggregate and sectoral markets. Evidence finds a positive relation between stock return and intertemporal downside risk, while … controlling for sentiment and liquidity. This study suggests that the U.S. stress risk or the world downside risk should be priced … into the Chinese stocks. The paper concludes that the risk-return tradeoff is present in the GARCH-in-mean, local downside …