Value at Risk and the Cross-Section of Expected Returns: Evidence from China

SSRN Electronic Journal ◽

10.2139/ssrn.3579848 ◽

2020 ◽

Author(s):

Pingshu Gui ◽

Yifeng Zhu

Keyword(s):

At Risk ◽

Cross Section ◽

Value At Risk ◽

Expected Returns ◽

The Cross

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Value at risk and the cross-section of expected returns: Evidence from China

Pacific-Basin Finance Journal ◽

10.1016/j.pacfin.2021.101498 ◽

2021 ◽

Vol 66 ◽

pp. 101498

Author(s):

Pingshu Gui ◽

Yifeng Zhu

Keyword(s):

At Risk ◽

Cross Section ◽

Value At Risk ◽

Expected Returns ◽

The Cross

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Value-at-risk and the cross section of emerging market hedge fund returns

Global Finance Journal ◽

10.1016/j.gfj.2021.100693 ◽

2021 ◽

pp. 100693

Author(s):

Sara Ali ◽

Ihsan Badshah ◽

Riza Demirer

Keyword(s):

At Risk ◽

Cross Section ◽

Value At Risk ◽

Emerging Market ◽

Hedge Fund ◽

The Cross ◽

Hedge Fund Returns

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Value at risk and the cross-section of hedge fund returns

Journal of Banking & Finance ◽

10.1016/j.jbankfin.2006.10.005 ◽

2007 ◽

Vol 31 (4) ◽

pp. 1135-1166 ◽

Cited By ~ 61

Author(s):

Turan G. Bali ◽

Suleyman Gokcan ◽

Bing Liang

Keyword(s):

At Risk ◽

Cross Section ◽

Value At Risk ◽

Hedge Fund ◽

The Cross ◽

Hedge Fund Returns

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Value at Risk and the Cross-Section of Hedge Fund Returns

SSRN Electronic Journal ◽

10.2139/ssrn.671822 ◽

2006 ◽

Cited By ~ 1

Author(s):

Turan G. Bali ◽

Suleyman Gokcan ◽

Bing Liang

Keyword(s):

At Risk ◽

Cross Section ◽

Value At Risk ◽

Hedge Fund ◽

The Cross ◽

Hedge Fund Returns

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Option-implied Value-at-Risk and the cross-section of stock returns

Review of Derivatives Research ◽

10.1007/s11147-019-09154-z ◽

2019 ◽

Vol 22 (3) ◽

pp. 449-474

Author(s):

Manuel Ammann ◽

Alexander Feser

Keyword(s):

At Risk ◽

Stock Returns ◽

Cross Section ◽

Value At Risk ◽

The Cross

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Book-to-Market and the Cross-Section of Expected Returns in International Stock Markets

CFA Digest ◽

10.2469/dig.v43.n3.37 ◽

2013 ◽

Vol 43 (3) ◽

Author(s):

Thomas M. Arnold

Keyword(s):

Cross Section ◽

Stock Markets ◽

Expected Returns ◽

International Stock Markets ◽

The Cross

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The Conditional Beta and the Cross-Section of Expected Returns

CFA Digest ◽

10.2469/dig.v39.n4.16 ◽

2009 ◽

Vol 39 (4) ◽

pp. 76-78

Author(s):

Charles F. Peake

Keyword(s):

Cross Section ◽

Expected Returns ◽

The Cross ◽

Conditional Beta

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Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns

CFA Digest ◽

10.2469/dig.v41.n2.25 ◽

2011 ◽

Vol 41 (2) ◽

pp. 12-13

Author(s):

Brian A. Maris

Keyword(s):

Cross Section ◽

Expected Returns ◽

The Cross

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Long-Horizon Consumption Risk and the Cross-Section of Expected Returns: A Cross-Country Perspective

SSRN Electronic Journal ◽

10.2139/ssrn.1251624 ◽

2008 ◽

Author(s):

Joachim Grammig ◽

Andreas Schrimpf ◽

Michael Schuppli

Keyword(s):

Cross Section ◽

Expected Returns ◽

Cross Country ◽

The Cross ◽

Consumption Risk

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Intermediary Leverage and the Cross-Section of Expected Returns

SSRN Electronic Journal ◽

10.2139/ssrn.1618587 ◽

2010 ◽

Author(s):

Tyler Muir

Keyword(s):

Cross Section ◽

Expected Returns ◽

The Cross

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