全球智库信息集成服务系统(G2TT): Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w19460
来源ID	Working Paper 19460
	Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?
	Turan G. Bali; Nusret Cakici; Robert F. Whitelaw
发表日期	2013-09-19
出版年	2013
语种	英语
摘要	We introduce a new, hybrid measure of stock return tail covariance risk, motivated by the under-diversified portfolio holdings of individual investors, and investigate its cross-sectional predictive power. Our key innovation is that this covariance is measured across the left tail states of the individual stock return distribution, not across those of the market return as in standard systematic risk measures. We document a positive and significant relation between hybrid tail covariance risk (H-TCR) and expected stock returns, with an annualized premium of 9%, in contrast to the insignificant or negative results for purely stock-specific or systematic tail risk measures.
主题	Econometrics ; Estimation Methods ; Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing
URL	https://www.nber.org/papers/w19460
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/577134
推荐引用方式 GB/T 7714	Turan G. Bali,Nusret Cakici,Robert F. Whitelaw. Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?. 2013.