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Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

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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..Printed Journal

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Ketersediaan

Call Number	Location	Available
RAPS0402	PSB lt.dasar - Pascasarjana	1

Penerbit	Oxford Oxford University Press.,
Edisi	-
Subjek	Diversification Downside risk Under Tail risk expected stock returns
ISBN/ISSN	20459920
Klasifikasi	-
Deskripsi Fisik	-
Info Detail Spesifik	-
Other Version/Related	Tidak tersedia versi lain
Lampiran Berkas	Tidak Ada Data