Is Tail Risk Priced in the Cross-Section of International Stock Index Returns?

• Autorzy: Aleksander R. Mercik
• Języki publikacji: EN

Abstrakty

EN

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.(original abstract)

Słowa kluczowe

EN

International market; Heavy-tailed distribution; Share price; Equity market; Stock market indexes

PL

Rynki międzynarodowe; Rozkład gruboogonowy; Kurs akcji; Rynek akcji; Indeks giełdowy

• Czasopismo: Modern Finance
• Rocznik: 2023
• Tom: 1
• Numer: nr 1
• Strony: 17--29

Twórcy

autor

Aleksander R. Mercik

• Uniwersytet Ekonomiczny we Wrocławiu

Bibliografia

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Identyfikatory

DOI

10.61351/mf.v1i1.7