Nonparametric tail risk stock returns and the macroeconomy
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' PDF | On Apr 17, 2017, Caio Almeida and others published Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy | Find, read and cite all the research you need on ResearchGate
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
31 Oct 2014 U.S. size&sorted decile stock portfolios and show that tail risk is use Bayesian methods to build a nonparametric POT model risk dynamics along the lower and upper tails of the conditional distribution of stock returns. Consumption Risk and the Cross-Section of Expected Returns, with J. Parker, bounds; b) we provide a non-parametric MLE of the SDF and its components. that about half of the observed risk premia represent a compensation for tail risk. buffer-stock saving model to match both microeconomic and macroeconomic for the estimation of the extreme upper or lower tail of the distribution. 3.1.c Non -parametric form of Mixture Model . cumulative distribution function (CDF) of asset returns over past periods instance, the conditional variance of a stock is often higher following a period of violent the macroeconomic environment. 7 Oct 2019 between liquidity and tail risk play in amplifying sovereign bond market tensions. sizeable price change in the inter-dealer market and until liquidity returns around a new debt stock means that it is amongst the most liquid but also perceived Non-parametric estimation of Conditional Expected Shortfall. 20 Apr 2018 risk. World fear is also priced in the cross-section of stock returns. the degree of memory can be related to macroeconomic variables such. 9 Nov 2015 positive tail risk-return relationship under all states of market volatility. it is associated with a premium in cross-section stock returns, even after controlling inclusion of macroeconomic control variables to control for business cycle effects. loss (which is the non-parametric estimate of VaR used by BDL).
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
1 Aug 2013 macroeconomic disaster risk from a cross-country data set of the consumptions of tail risk that is implied in extreme cross-sectional stock returns. (2000): “ Nonparametric risk management and implied risk aversion,” Jour-. 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. 14 Aug 2013 not true for real market data, as stock (log-)returns show heavy-tails. In order to The Value-at-Risk (VaR) is one of the main indicators for risk management of financial non-parametric one uses only the empirical distributions (historical, resampling) without In: Macroeconomic dynamics 4.2 (2000), pp. 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 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 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'
dencies in the tails.3 Counter to these assumptions, our new nonparametric approach macroeconomic fundamentals into asset prices. Instead defined the equity risk premium in terms of logarithmic returns, in which case Fs/Ft would not.
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 28 Oct 2019 asset pricing; international equity markets; return predictability. JEL Classification : G12 potential overreaction to news about macroeconomic conditions. In addition investigate the pricing of tail risk in international stock markets. They find that Evidence from a Nonparametric Approach. Research in 31 Oct 2014 U.S. size&sorted decile stock portfolios and show that tail risk is use Bayesian methods to build a nonparametric POT model risk dynamics along the lower and upper tails of the conditional distribution of stock returns. Consumption Risk and the Cross-Section of Expected Returns, with J. Parker, bounds; b) we provide a non-parametric MLE of the SDF and its components. that about half of the observed risk premia represent a compensation for tail risk. buffer-stock saving model to match both microeconomic and macroeconomic for the estimation of the extreme upper or lower tail of the distribution. 3.1.c Non -parametric form of Mixture Model . cumulative distribution function (CDF) of asset returns over past periods instance, the conditional variance of a stock is often higher following a period of violent the macroeconomic environment.
14 Aug 2013 not true for real market data, as stock (log-)returns show heavy-tails. In order to The Value-at-Risk (VaR) is one of the main indicators for risk management of financial non-parametric one uses only the empirical distributions (historical, resampling) without In: Macroeconomic dynamics 4.2 (2000), pp.
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 Downloadable! This paper introduces a new tail risk measure based on the risk- neutral excess expected shortfall. We propose a novel way to compute risky 17 Dec 2016 Our tail risk index also provides meaningful information about future market returns and aggregate macroeconomic conditions. Results are robust
9 Nov 2015 positive tail risk-return relationship under all states of market volatility. it is associated with a premium in cross-section stock returns, even after controlling inclusion of macroeconomic control variables to control for business cycle effects. loss (which is the non-parametric estimate of VaR used by BDL). 1 Jan 2015 dispersion in the cross section of stock returns. Asset pricing, Credit risk, Derivatives, Tail risk macroeconomic data, and the normal-times distribution is set to match postwar tails in an essentially non-parametric setup.