| 来源类型 | Working Paper
|
| 规范类型 | 报告
|
| DOI | 10.3386/w19375
|
| 来源ID | Working Paper 19375
|
| Tail Risk and Asset Prices |
| Bryan Kelly; Hao Jiang
|
| 发表日期 | 2013-08-29
|
| 出版年 | 2013
|
| 语种 | 英语
|
| 摘要 | We propose a new measure of time-varying tail risk that is directly estimable from the cross section of returns. We exploit firm-level price crashes every month to identify common fluctuations in tail risk across stocks. Our tail measure is significantly correlated with tail risk measures extracted from S&P 500 index options, but is available for a longer sample since it is calculated from equity data. We show that tail risk has strong predictive power for aggregate market returns: A one standard deviation increase in tail risk forecasts an increase in excess market returns of 4.5% over the following year. Cross-sectionally, stocks with high loadings on past tail risk earn an annual three-factor alpha 5.4% higher than stocks with low tail risk loadings. These findings are consistent with asset pricing theories that relate equity risk premia to rare disasters or other forms of tail risk. |
| 主题 | Financial Economics
; Portfolio Selection and Asset Pricing
; Financial Markets
|
| URL | https://www.nber.org/papers/w19375
|
| 来源智库 | National Bureau of Economic Research (United States)
|
| 引用统计 |
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| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/577050
|
推荐引用方式
GB/T 7714 |
Bryan Kelly,Hao Jiang. Tail Risk and Asset Prices. 2013.
|
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