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Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Wese Simen, … - 2017

We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are mainly driven by global tail risk rather than local tail...

Persistent link: https://www.econbiz.de/10011751251

Stock return and cash flow predictability : the role of volatility risk

Bollerslev, Tim; Xu, Lai; Zhou, Hao - In: Journal of econometrics 187 (2015) 2, pp. 458-471

Persistent link: https://www.econbiz.de/10011499728

Comments on: Nonparametric tail risk, stock returns and the macroeconomy

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2016

Persistent link: https://www.econbiz.de/10011518800

Risks in macroeconomic fundamentals and excess bond returns predictability

De Rezende, Rafael B. - 2015 - February 2015

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they account for up to 31% of the variation in excess bond...

Persistent link: https://www.econbiz.de/10010478516

Tail Risk and Asset Prices

Kelly, Bryan T. - 2014

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...

Persistent link: https://www.econbiz.de/10013063059

Cross-section without factors : correlation risk, strings and asset prices

Distaso, Walter; Mele, Antonio; Vilkov, Grigory - 2021 - This version: January 13, 2021

Many asset pricing theories treat the cross-section of returns volatility and correlations as two intimately related quantities driven by common factors, which hinders achieving a neat definition of a correlation premium. We formulate a model without factors, but with a continuum of securities...

Persistent link: https://www.econbiz.de/10012421289

Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications

Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - 2020 - This version: January 2020

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the same time when the market liquidity (return) is lowest....

Persistent link: https://www.econbiz.de/10012175486

Persistence of Jump-Induced Tail Risk and Limits to Arbitrage

Chow, Victor; John, Kose; Li, Jingrui; Sopranzetti, Ben J. - 2022

We present a novel methodology to calculate the jump-induced tail risk premium for individual stocks and examine its effect on the following-month’s returns. The existence of a premium for bearing negative jump-induced tail risk is significantly associated with negative one-month future...

Persistent link: https://www.econbiz.de/10014236142

Idiosyncratic risk puzzle and its pricing : do firm characteristics matter? Evidence of BRICS countries

Kausar, Saba; Rashid, Abdul; Shah, Zulfiqar Ali - In: Borsa Istanbul Review 23 (2023) 1, pp. 149-168

This paper examines the relationship between idiosyncratic risk and stock returns in BRICS (Brazil, Russia, India, China, and South Africa) countries by applying parametric and nonparametric approaches. It also explores the idiosyncratic risk puzzle by dividing firms into groups based on...

Persistent link: https://www.econbiz.de/10014307488

Can reinvestment risk explain the dividend and bond term structures?

Gonçalves, Andrei S. - 2018 - This Version: January, 2018

The equity term structure is downward sloping at long maturities. I show, through an ICAPM estimation, that the … tradeoff between market and reinvestment risk explains this pattern. Intuitively, while long-term dividend claims are highly … exposed to market risk, they are also good hedges for reinvestment risk because dividend prices rise as expected returns …

Persistent link: https://www.econbiz.de/10011963382

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