Left-tail risk in China

Fang Zhen*, Xinfeng Ruan, Jin E. Zhang

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

16 Citations (Scopus)


Atilgan, Bali, Demirtas and Gunaydin (2020) find a significantly negative cross-sectional relation between left-tail risk and future returns on individual stock trading in the US and international developed countries. We explore this left-tail risk anomaly in the Chinese stock market, and find an economically and statistically significant relation between the risk and future returns. Stocks in China are more sensitive to left-tail risk than in the US with a higher risk exposure. This paper complements new evidence that higher left-tail risk is also associated with lower expected returns in China.

Original languageEnglish
Article number101391
JournalPacific Basin Finance Journal
Publication statusPublished - Oct 2020
Externally publishedYes


  • China
  • Equity returns
  • Left-tail risk


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