Journal ArticleDOI
The World Price of Tail Risk
Kuan-Hui Lee,Cheol-Won Yang +1 more
TLDR
In this paper, the authors examined the pricing of tail risk for 43,000 stocks from 46 countries between 1995 and 2013 and decompose tail risks into those with respect to local and global market returns and find that both risks are independently priced.Abstract:
We examine the pricing of tail risk for 43,000 stocks from 46 countries between 1995 and 2013. We decompose tail risks into those with respect to local and global market returns and find that both risks are independently priced. Due to the increased demand for hedging tail risks, the premia for both tail risks are positively related to globalization. For local tail risk, though not for global tail risk, the premium is high when investor sentiment is low and its sensitivity is limited by globalization, reflecting that investors can diversify away local tail risk, but not global tail risk, globally.read more
Citations
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Journal ArticleDOI
High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence
Journal ArticleDOI
Left-Tail Momentum: Underreaction to Bad News, Costly Arbitrage and Equity Returns
TL;DR: In this paper, the authors provide a behavioral explanation to the left-tail risk anomaly based on the idea that investors underestimate the persistence in left tail risk and overprice stocks with large recent losses, thus, low returns in the left tail of the distribution persist into the future causing left tail return momentum.
Journal ArticleDOI
When bad news is good news: Geopolitical risk and the cross-section of emerging market stock returns
TL;DR: The authors found that changes in risk positively predict future stock returns and that the countries with the highest increase in geopolitical uncertainty outperform their counterparts with the lowest change by up to 1% per month.
Posted Content
International Tail Risk and World Fear
TL;DR: In this paper, the authors examined the pricing of tail risk in international stock markets and found that the tail risk of different countries is highly integrated, and that local and global aggregate market returns are mainly driven by global tail risk rather than local tail risk.
Journal ArticleDOI
Left-Tail Momentum: Underreaction to Bad News, Costly Arbitrage and Equity Returns
TL;DR: In this article, the authors investigate the relationship between left-tail risk and future returns on individual stocks trading in the U.S. and international markets and provide a behavioral explanation to this anomaly based on the idea that investors underestimate the persistence in left-tailed risk and overprice stocks with large recent losses.
References
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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.
Posted Content
Law and Finance
Rafael La Porta,Rafael La Porta,Florencio Lopez de Silanes,Florencio Lopez de Silanes,Andrei Shleifer,Andrei Shleifer,Robert W. Vishny,Robert W. Vishny +7 more
TL;DR: This paper examined legal rules covering protection of corporate shareholders and creditors, the origin of these rules, and the quality of their enforcement in 49 countries and found that common law countries generally have the best, and French civil law countries the worst, legal protections of investors.
Journal ArticleDOI
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
TL;DR: In this article, the authors show that strategies that buy stocks that have performed well in the past and sell stocks that had performed poorly in past years generate significant positive returns over 3- to 12-month holding periods.
Journal ArticleDOI
Economic Reform and the Process of Global Integration
TL;DR: The World Trade Organization (WTO) was established by agreement of more than 120 economies, with almost all the rest eager to join as rapidly as possible as mentioned in this paper, and the agreement included a codification of basic principles governing trade in goods and services.
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