Nonparametric tail risk stock returns and the macroeconomy
Downloadable (with restrictions)! This 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 This 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. It assesses its contribution to the latter literature by measuring the tail-risk premium in equity returns and verifying if the risk measure anticipates stock market movements. In my opinion, the paper’s contribution to the asset pricing literature is more important than its contribution to the risk management literature. Rejoinder on: Nonparametric tail risk, stock returns, and the macroeconomy Caio Almeida , Kym Ardison, René Garcia, Jose Vicente Research output : Contribution to journal › Comment/debate This paper contains comments on Nonparametric Tail Risk, Stock Returns and the Macroeconomy. Keywords: Tail Risk, Risk Factor, Risk-Neutral Probability, Prediction of Market Returns, Economic Predictability
30 Oct 2015 For example, a stock with a beta of zero with respect to the market is evolution of tail risks around major scheduled macroeconomic news. individual asset tail dynamics if asset return tails follow a power law. Lee, Suzanne S. and Per A. Mykland, “Jumps in Financial Markets: A New Nonparametric.
15 Mar 2017 Abstract. This paper introduces a new tail-risk measure based on the risk-neutral excess expected shortfall of a cross-section of stock returns. 15 Mar 2017 Abstract. This paper introduces a new tail-risk measure based Downloadable (with restrictions)! This paper introduces a new tail-risk measure based on the risk-neutral excess expected shortfall of a cross-section of stock (2012) measure systemic risk through the 1% V aR of several tail distributions of the cross section of returns of financial firms. The main additional advantage of
17 Dec 2016 Our tail risk index also provides meaningful information about future market returns and aggregate macroeconomic conditions. Results are robust
3 Aug 2017 Therefore, we should pay high attention to the downside tail risk and the upside tail risk. time series and cross-sectional stock return-risk relations revealed by the risk trade-off relationship under the macro-economic framework with The non-parametric method can not only identify jump volatility and We develop a new systematic tail risk measure for equity-oriented hedge risk. We find that tail risk affects the cross-sectional variation in fund returns, and We address these questions by first deriving a non-parametric estimate for hedge macroeconomic uncertainty (Bali, Brown, and Caglayan, 2014), volatility risk This work empirically addresses asset pricing's beta anomaly through a tail risk ap- With significant impact of ex-ante credit risk on stock returns, Schneider et al. ent non-parametric skewness/kurtosis estimations, he also points out reasons to Alexander, D. & Veronesi, P. (2009), 'Macroeconomic uncertainty and fear
15 Mar 2017 Abstract. This paper introduces a new tail-risk measure based
T1 - Nonparametric tail risk, stock returns, and the macroeconomy. AU - Almeida, Caio. AU - Ardison, Kym. AU - Garcia, René. AU - Vicente, Jose. PY - 2017/6/1. Y1 - 2017/6/1. N2 - This 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 Nonparametric Tail Risk, Stock Returns, and the Macroeconomy Article (PDF Available) in Journal of Financial Econometrics 15(3):333-376 · June 2017 with 63 Reads How we measure 'reads' Nonparametric Tail Risk, Stock Returns and the Macroeconomy Caio Almeida y Kym Ardison z Ren e Garcia x Jose Vicente { December 17, 2016 Abstract This paper introduces a new tail risk measure based on the risk-neutral excess Kris Jacobs, Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy, Journal of Financial Econometrics, Volume 15, Issue 3, Summer 2017, Pages 410–412, They calculate an aggregate measure of tail risk as the average of the individual portfolio expected shortfalls. Their empirical results show that tail risk performs well in predicting the cross-sectional variation in future stock returns. Tail risk also has significant predictive power over future economic downturns.
In Section 3, we study empirically the predictive properties of our tail-risk measure for market returns and macroeconomic activity indicators. Section 4 analyzes the robustness of our tail-risk measure in various dimensions. Section 5 concludes with a summary and some potential extensions. 1 A Nonparametric Tail-Risk Measure 1.1. Building a
Rejoinder on: Nonparametric tail risk, stock returns, and the macroeconomy Caio Almeida , Kym Ardison, René Garcia, Jose Vicente Research output : Contribution to journal › Comment/debate This paper contains comments on Nonparametric Tail Risk, Stock Returns and the Macroeconomy. Keywords: Tail Risk, Risk Factor, Risk-Neutral Probability, Prediction of Market Returns, Economic Predictability Comments on : Nonparametric Tail Risk, Stock Returns and the Macroeconomy Lorenzo Camponovo, Olivier Scaillet and Fabio Trojani University of Essex, University of Geneva & Swiss Finance Institute Address correspondence to Olivier Scaillet, University of Geneva & Swiss Finance Institute, We show that tail risk has strong predictive power for aggregate market returns. Cross-sectionally, stocks with high loadings on past tail risk earn an annual three-factor alpha 5.4% higher than Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy Article in Journal of Financial Econometrics 15(3) · April 2017 with 14 Reads How we measure 'reads'
Tail Risk of Smart Beta Portfolios: An Extreme Value Theory Approach — July 2014. Table of the Asia-Pacific Development Journal and Macroeconomic Dynamics, and is the author of a book, a factor tilt through stock selection and relative returns by varying the weighting scheme nonparametric discounting (June). Second, tail risk is highly predictive of stock returns in the Korean stock markets if the price parametric methods and one nonparametric method. and marginal expected shortfall are predictive of macroeconomic shocks, but do not show 3 Aug 2017 Therefore, we should pay high attention to the downside tail risk and the upside tail risk. time series and cross-sectional stock return-risk relations revealed by the risk trade-off relationship under the macro-economic framework with The non-parametric method can not only identify jump volatility and