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Systematic Tail Risk

delete2016-06-10
delete90
PRE
AI
M
Maarten R.C. van Oordt *
C
Chen Zhou
DOI：10.1017/S0022109016000193delete
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摘要

摘要

En 中文
We test for the presence of a systematic tail risk premium in the cross section of expected returns by applying a measure of the sensitivity of assets to extreme market downturns, the tail beta. Empirically, historical tail betas help predict the future performance of stocks in extreme market downturns. During a market crash, stocks with historically high tail betas suffer losses that are approximately 2 to 3 times larger than their low-tail-beta counterparts. However, we find no evidence of a premium associated with tail betas. The theoretically additive and empirically persistent tail betas can help assess portfolio tail risks.
Keyword:
PARTIAL MOMENT FRAMEWORK
COVARIANCE-MATRIX
EXPECTED RETURNS
EQUITY RETURNS
CROSS-SECTION
DOWNSIDE RISK
STOCK RETURNS
MARKETS
PREFERENCE
EQUILIBRIUM
AI总结

AI总结

对已上传原文的论文进行重点信息的提取，主要内容包括：简要概述、研究摘要、背景介绍、关键亮点、图文解析、展望与总结。

期刊

Journal of Financial and Quantitative Analysis 封面图
Journal of Financial and Quantitative Analysis
IF:
2.8
论文数:
2.3K
被引数:
1.0W

机构

E
European Central Bank
学者数:
1.2K
论文数: 1.3K
被引数: 727
B
Bank of Canada
学者数:
235
论文数: 259
被引数: 0
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