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dc.contributor.authorAlmeida, Caio Ibsen Rodrigues de
dc.contributor.authorArdison, Kym Marcel Martins
dc.contributor.authorGarcia, René
dc.contributor.authorVicente, José
dc.date.accessioned2018-05-10T13:37:38Z
dc.date.available2018-05-10T13:37:38Z
dc.date.issued2016
dc.identifierhttp://dx.doi.org/10.1093/jjfinec/nbx007
dc.identifier.issn1479-8409
dc.identifier.urihttp://hdl.handle.net/10438/23771
dc.descriptionConteúdo online de acesso restrito pelo editorpor
dc.description.abstractThis paper introduces a new tail-risk measure based on the risk-neutral excess expected shortfall of a cross-section of stock returns. We propose a novel way to risk neutralize the returns without relying on option price information. Empirically, we illustrate our methodology by estimating a tail-risk measure over a long historical period based on a set of size and book-to-market portfolios. We find that a risk premium is associated with long-short strategies with portfolio sorts based on tail-risk sensitivities of individual securities. Our tail-risk index also provides meaningful information about future market returns and aggregate macroeconomic conditions. Results are robust to the cross-sectional information and other parameters selected to compute the tail-risk measure.eng
dc.description.sponsorshipCNPq; ANBIMApor
dc.format.extentp. 333-376
dc.language.isoeng
dc.publisherCiranoeng
dc.relation.ispartofSérie Scientifiqueeng
dc.sourceWeb of Science
dc.subjectEconomic predictabilityeng
dc.subjectPrediction of market returnseng
dc.subjectRisk factoreng
dc.subjectRisk-neutral probabilityeng
dc.subjectTail riskeng
dc.titleNonparametric tail risk, stock returns, and the macroeconomyeng
dc.typeArticle (Journal/Review)eng
dc.subject.areaFinançaspor
dc.subject.bibliodataMacroeconomiapor
dc.subject.bibliodataRisco (Economia)por
dc.contributor.affiliationFGV
dc.identifier.doi10.1093/jjfinec/nbx007
dc.rights.accessRightsrestrictedAccesseng
dc.identifier.WoS000405649300002


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