Journal ArticleDOI
Market skewness risk and the cross section of stock returns
Reads0
Chats0
TLDR
In this paper, the authors estimate the moments from daily Standard & Poor's 500 index option data to estimate the implied market skewness risk premium, which is statistically and economically significant and cannot be explained by other common risk factors such as the market excess return or the size, book-to-market, momentum, and market volatility factors.About:
This article is published in Journal of Financial Economics.The article was published on 2013-01-01. It has received 272 citations till now. The article focuses on the topics: Skewness risk & Volatility (finance).read more
Citations
More filters
Journal ArticleDOI
Good and bad uncertainty: Macroeconomic and financial market implications ☆
TL;DR: The authors decompose aggregate uncertainty of macroeconomic data into "good" and "bad" uncertainty components, which correspond respectively to the volatility associated with positive and negative innovations to macroeconomic growth rates.
Journal ArticleDOI
Stock liquidity and stock price crash risk
TL;DR: The authors found that stock liquidity increases stock price crash risk, and they used the decimalization of stock trading as an exogenous shock to liquidity, which increased the ownership of a firm by transient investors and non-blockholders.
Journal ArticleDOI
Carbon Tail Risk
TL;DR: In this article, the authors show that climate policy uncertainty makes it difficult for investors to quantify the impact of future climate regulation, and they show that such uncertainty is priced in the option market and that the cost of option protection against downside tail risks is larger for firms with more carbon-intense business models.
Journal ArticleDOI
The Skew Risk Premium in the Equity Index Market
TL;DR: This article found that the skew premium accounts for over 40% of the slope in the implied volatility curve in the S&P 500 market, in the sense that strategies designed to capture the one and hedge out exposure to the other earn an insignificant risk premium.
Journal ArticleDOI
Pricing Kernels with Stochastic Skewness and Volatility Risk
TL;DR: It is shown that the price of market volatility risk is restricted by the investor's risk aversion and skewness preference and the pricing kernel decreases in the market index return and increases in market volatility.
References
More filters
Journal ArticleDOI
Common risk factors in the returns on stocks and bonds
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this article, the authors identify five common risk factors in the returns on stocks and bonds, including three stock-market factors: an overall market factor and factors related to firm size and book-to-market equity.
ReportDOI
A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
Whitney K. Newey,Kenneth D. West +1 more
TL;DR: In this article, a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance matrix that is positive semi-definite by construction is described.
Journal ArticleDOI
Risk, Return, and Equilibrium: Empirical Tests
Eugene F. Fama,James D. MacBeth +1 more
TL;DR: In this article, the relationship between average return and risk for New York Stock Exchange common stocks was tested using a two-parameter portfolio model and models of market equilibrium derived from the two parameter portfolio model.
Journal ArticleDOI
On Persistence in Mutual Fund Performance
TL;DR: Using a sample free of survivor bias, this paper showed that common factors in stock returns and investment expenses almost completely explain persistence in equity mutual fund's mean and risk-adjusted returns.
Journal ArticleDOI
An intertemporal capital asset pricing model
TL;DR: In this article, an intertemporal model for the capital market is deduced from portfolio selection behavior by an arbitrary number of investors who aot so as to maximize the expected utility of lifetime consumption and who can trade continuously in time.