用平滑横截面尾部风险预测股票风险溢价:相关性的重要性

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2023-03-01 DOI:10.1016/j.finmar.2022.100769

José Afonso Faias

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引用次数: 0

摘要

我提供了一个新的股票市场尾部风险的月度横截面度量，SCSTR，定义为每日横截面尾部风险的平均值，而不是一个月内汇总每日回报的尾部风险。通过模拟，我发现SCSTR可以更好地捕捉每月的尾部风险，而不仅仅是一个月内特定日子的尾部风险。在1964年至2018年的一段较长时间内，这种差异在产生强大的样本内和样本外可预测性方面很重要，并且在短期和长期内的表现优于历史风险溢价和其他常用的预测因素。

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Predicting the equity risk premium using the smooth cross-sectional tail risk: The importance of correlation

I provide a new monthly cross-sectional measure of stock market tail risk, SCSTR, defined as the average of the daily cross-sectional tail risk, rather than the tail risk of the pooled daily returns within a month. Through simulations, I find that SCSTR better captures monthly tail risk rather than merely the tail risk on specific days within a month. In an extended period from 1964 until 2018, this difference is important in generating strong in- and out-of-sample predictability and performs better than the historical risk premium and other commonly-used predictors for short- and long-term horizons.

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来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.