Zizi Cao

Jiangxi University of Finance and Economics

South Lushan Road

Nanchang, Jiangxi 330013

China

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Two-side CVaRs and Cross-sectional Expected Stock Returns: Evidence from the Chinese Stock Market

Number of pages: 34 Posted: 30 Oct 2019 Last Revised: 29 Jan 2020
Aifan Ling and Zizi Cao
Jiangxi University of Finance and Economics and Jiangxi University of Finance and Economics
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Abstract:

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Asset pricing, extreme loss and gain, two-side CVaRs, tail risk