Tail risk and expected stock returns around the world
Year of publication: |
2019
|
---|---|
Authors: | Long, Huaigang ; Zhu, Yanjian ; Chen, Lifang ; Jiang, Yuexiang |
Published in: |
Pacific-Basin finance journal. - Amsterdam [u.a.] : Elsevier, ISSN 0927-538X, ZDB-ID 1343420-2. - Vol. 56.2019, p. 162-178
|
Subject: | Idiosyncratic volatility | International markets | Return predictability | Tail risk | Tail risk puzzle | Kapitaleinkommen | Capital income | Schätzung | Estimation | Volatilität | Volatility | Risiko | Risk | Prognoseverfahren | Forecasting model | Kapitalmarktrendite | Capital market returns | Welt | World | Risikomaß | Risk measure | Risikoprämie | Risk premium | Börsenkurs | Share price | Statistische Verteilung | Statistical distribution |
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