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• W4200230865 abstract "In this paper, we find a negative cross-sectional relationship between the change in left-tail risk and expected returns in the Chinese stock market. This effect cannot be explained by the common control variables and existing factor models in China, including the four-factor model (CH4) proposed by Liu, Stambaugh, and Yuan (2019). The predictive power of the change in left tail risk on expected returns can persist several months into the future, which may due to the strong prior beliefs of investors and the slow diffusion of fundamental information. Additionally, we observe that investors exhibit a stronger preference toward change in left-tail risk for stocks with lower capital gains overhang (CGO). • The change in left-tail risk and expected returns is negative in the Chinese stock market. • The effect cannot be explained by existing factor models in China. • The predictive power of the change in left-tail risk can persist several months into the future. • The change in let-tail risk factor cannot be explained by factor models in China. • The new factor can explain some anomalies which cannot be explained by other factors." @default.
• W4200230865 created "2021-12-31" @default.
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• W4200230865 date "2022-02-01" @default.
• W4200230865 modified "2023-10-01" @default.
• W4200230865 title "How is the change in left-tail risk priced in China?" @default.
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• W4200230865 doi "https://doi.org/10.1016/j.pacfin.2021.101703" @default.
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