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Applied Economics Letters Volume 30, 2023 - Issue 10
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Research Article

Is idiosyncratic tail risk priced in the cross-section of bond returns? –Evidence from Chinese bond markets

Wei-Qiang HuangSchool of Business Administration, Northeastern University, Shenyang, Liaoning, ChinaCorrespondence[email protected]
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,
Jing ZhangSchool of Business Administration, Northeastern University, Shenyang, Liaoning, ChinaView further author information
&
Peipei LiuSchool of Business Administration, Northeastern University, Shenyang, Liaoning, ChinaView further author information
Pages 1318-1326 | Published online: 15 Mar 2022

References

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  • Bai, J., T. G. Bali, and Q. Wen. 2021. “Is There a Risk-return Tradeoff in the Corporate Bond Market? Timeseries and Cross-sectional Evidence.” Journal of Financial Economics 142 (3): 1017–1037. doi:10.1016/j.jfineco.2021.05.003.
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  • Fama, E. F., and K. R. French. 1993. “Common Risk Factors in the Returns on Stocks and Bonds.” Journal of Financial Economics 33 (1): 3–56. doi:10.7208/9780226426983-018.
  • Huang, W., Q. Liu, S. G. Rhee, and F. Wu. 2012. “Extreme Downside Risk and Expected Stock Returns.” Journal of Banking & Finance 36 (5): 1492–1502. doi:10.1016/j.jbankfin.2011.12.014.
  • Kelly, B., and H. Jiang. 2014. “Tail Risk and Asset Prices.” The Review of Financial Studies 27 (10): 2841–2871. doi:10.1093/rfs/hhu039.
  • Lin, H., J. Wang, and C. Wu. 2011. “Liquidity Risk and the Cross-section of Expected Corporate Bond Returns.” Journal of Financial Economics 99 (3): 628–650. doi:10.1016/j.jfineco.2010.10.004.
  • Long, H., Y. Jiang, and Y. Zhu. 2018. “Idiosyncratic Tail Risk and Expected Stock Returns: Evidence from the Chinese Stock Markets.” Finance Research Letters 24: 129–136. doi:10.1016/j.frl.2017.07.009.

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