TailRiskandAssetPrices 系统标签: tailriskassetpricesreturnsextreme TailRiskandAssetPrices ∗ BryanKelly UniversityofChicagoandNBER HaoJiang ErasmusUniversity Abstract Weproposeanewmeasureoftime-varyingtailriskthatisdirectlyestimablefromthe crosssectionofreturns.Weexploitfirm-levelpricecrasheseverymonthtoidentify ...
Tail riskJump ambiguityPortfolio choiceNonparticipationAsset pricingBoth equity return jumps and consumption disasters exhibit slowly-decaying tail behavior admitting severe downside risk. This article solves the portfolio choicJin, XingLuo, DanZeng, Xudong...
摘要: 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关键词: Tail risk time-varying expected returns cross section of returns ...
tail risk and price 下载积分:900 内容提示: NBER WORKING PAPER SERIESTAIL RISK AND ASSET PRICESBryan KellyHao JiangWorking Paper 19375http://www.nber.org/papers/w19375NATIONAL BUREAU OF ECONOMIC RESEARCH1050 Massachusetts AvenueCambridge, MA 02138August 2013Kelly thanks his thesis committee, Robert ...
tail riskfrequencyspectral riskinvestment horizonsWe show that the two important sources of risk -- market tail risk and extreme market volatility risk -- are priced in the cross-section of asset returns heterodoi:10.2139/ssrn.3197408Jozef Barunik...
stocks with high tail risk (downside loss risk) can earn higher returns than stocks with low tail risk (see e.g. Ang, Chen, & Xing, 2006; Kelly & Jiang, 2014 ). tailrisk2020-09-24 上传大小:556KB 所需:10积分/C币 机器学习(预测模型):饮料销售数据集 ...
Most importantly, gold is a safer asset due to the lowest tail risk among four precious metals, indicating the claim that gold is a precious asset to mitigate the returns during market downturns and acts as a ‘safe haven’. Moreover, we also find that extreme systemic risk (tail-β) ...
First, tail risk is seriously underestimated in stock markets with a price limit system. Second, tail risk is a significant risk factor in determining asset prices if price limits are above a certain level (15%). Lastly, related to the Korean economy, tail risk has predictive power to the ...
Extreme ETM price changes have a non-neutral effect on energy and non-energy commodity prices and volatility. • ETM price movements around median values have negligible effects on commodity prices. • Commodity risk-adjusted returns, tail risk, and liquidity needs can be improved by considering...
A number of papers have related jump or tail risk to asset risk premia. For example, Naik and Lee (1990), Longstaff and Piazzesi (2004), and Liu, Pan, and Wang (2005) model jump risk premia in equity prices, while Gabaix (2012) and Wachter (2012), extending initial work of Rie...