- Tytuł:
- Is tail risk priced in the cross-section of international stock index returns?
- Autorzy:
- Mercik, Aleksander R.
- Powiązania:
- https://bibliotekanauki.pl/articles/23942715.pdf
- Data publikacji:
- 2023
- Wydawca:
- Fundacja Naukowa Instytut Współczesnych Finansów
- Tematy:
-
tail risk
Left-tail risk
International markets
Equity returns
Cross-section of returns
Return predictability
Asset pricing
Equity anomalies
Idiosyncratic volatility - Opis:
- This study examines the predictive power of tail risk measures in stock indices returns using a comprehensive dataset covering 50 countries from 1926 to 2021. Our findings reveal that tail risk measures exhibit predictive power when considered independently. However, their forecasting abilities disappear when other risk and return factors are incorporated. This suggests that tail risk measures do not contain incremental information about the cross-section of stock returns beyond the commonly used global factors. Our findings are robust across various considerations, holding for alternative tail risk measure types, estimation periods, and different control variables subsets.
- Źródło:
-
Modern Finance; 2023, 1, 1; 17-29
2956-7742 - Pojawia się w:
- Modern Finance
- Dostawca treści:
- Biblioteka Nauki
Artykuł