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

67 Pages Posted: 27 May 2020 Last revised: 6 Jan 2021

See all articles by Pingshu Gui

Pingshu Gui

University of Chinese Academy of Social Sciences

Yifeng Zhu

School of Finance, Central University of Finance and Economics

Date Written: December 3, 2020

Abstract

In the Chinese stock market, we find that the cross-sectional relation between value-at-risk (VaR) and expected returns is unclear, which is different from the recent findings in the United States. Additionally, VaR is negatively related with expected returns and cannot be explained by idiosyncratic volatility, momentum, short-term reversal, or maximum daily return during a high consumer confidence period. In contrast, no significant relation is observed between VaR and expected returns during a period of low consumer confidence.

Keywords: Value-at-Risk, cross-sectional relation, equity returns, consumer confidence

JEL Classification: G11, G12

Suggested Citation

Gui, Pingshu and Zhu, Yifeng, Value at Risk and the Cross-Section of Expected Returns: Evidence from China (December 3, 2020). Pacific-Basin Finance Journal, Forthcoming, Available at SSRN: https://ssrn.com/abstract=3579848 or http://dx.doi.org/10.2139/ssrn.3579848

Pingshu Gui

University of Chinese Academy of Social Sciences ( email )

Beijing, Beijing
China

Yifeng Zhu (Contact Author)

School of Finance, Central University of Finance and Economics ( email )

39 South College Road
Haidian District
Beijing, Beijing 100081
China

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