Market volatility, market skewness, and the cross-section of expected returns in Chinese equity markets-Reference-Cited by-同舟云学术

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Market volatility, market skewness, and the cross-section of expected returns in Chinese equity markets

Published:2022-11-16 Issue: Volume: Page:1-17
ISSN:0003-6846
Container-title:Applied Economics
language:en
Short-container-title:Applied Economics

Author:

Liu Qing¹,Wang Shouyang²^ORCID,Sui Cong³

Affiliation:

1. School of Economics and Management, Beihang University, Beijing, China

2. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, China

3. School of Maritime Economics and Management, Dalian Maritime University, Dalian, China

Funder

National Natural Science Foundation of China

Publisher

Informa UK Limited

Subject

Economics and Econometrics

Link

https://www.tandfonline.com/doi/pdf/10.1080/00036846.2022.2140766

Reference36 articles.

1. Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk

2. Agarwal, V., G. Bakshib, and J. Huij. 2009. “Do Higher-Moment Equity Risks Explain Hedge Fund Returns?” Robert H. Smith School Research Paper No. RHS 06-153, Available at SSRN: https://ssrn.com/abstract=1108635 or http://dx.doi.org/10.2139/ssrn.1108635.

3. Does realized skewness predict the cross-section of equity returns?

4. The Joint Cross Section of Stocks and Options

5. The Cross-Section of Volatility and Expected Returns

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