We estimate the relative signal jump variance (RSJV) as the difference between the realized positive half-variance and negative half-variance divided by the realized variance using high-frequency intraday data and investigate its role in the cross-sectional pricing in the Chinese stock market....

Our study is the first to examine the pricing effect of U.S. trade policy uncertainty (TPU) on Chinese stocks. We estimate the U.S. TPU beta, which measures Chinese stock exposure to the U.S. TPU index. Both portfolio analyses and cross-sectional regressions suggest a significantly negative...

We examine the effect of realized skewness on Chinese stock returns. We construct realized skewness by using intraday data at a monthly horizon. Our study finds a significant negative relation between realized skewness and future stock returns in both portfolio analyses and cross-sectional...

We investigate the pricing of systematic tail risk measured by tail beta in the Chinese equity market. Using an array of tests, we examine the performance of more than 3,300 stocks for the years 1999 through 2018. Contrary to evidence from developed markets, we demonstrate a strong negative...