Equity risk premium predictability from cross-sectoral downturns

Detalhes bibliográficos
Autor(a) principal: Faias, José Afonso
Data de Publicação: 2022
Outros Autores: Zambrano, Juan Arismendi
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.14/38219
Resumo: We illustrate the role of left tail dependence—left tail mean (LTM)—in equity risk premium (ERP) predictability. LTM measures the average of pairwise left tail dependency among major equity sectors incorporating shocks imperceptible at the aggregate level. LTM, as well as the variance risk premium, significantly predicts the ERP in and out of sample, which is not the case with commonly used predictors. We find this predictability is the result of procyclical shocks’ reversals in a stable business cycle. This paper contributes to the ongoing debate on ERP predictability. (JEL G10, G12, G14)
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spelling Equity risk premium predictability from cross-sectoral downturnsWe illustrate the role of left tail dependence—left tail mean (LTM)—in equity risk premium (ERP) predictability. LTM measures the average of pairwise left tail dependency among major equity sectors incorporating shocks imperceptible at the aggregate level. LTM, as well as the variance risk premium, significantly predicts the ERP in and out of sample, which is not the case with commonly used predictors. We find this predictability is the result of procyclical shocks’ reversals in a stable business cycle. This paper contributes to the ongoing debate on ERP predictability. (JEL G10, G12, G14)Veritati - Repositório Institucional da Universidade Católica PortuguesaFaias, José AfonsoZambrano, Juan Arismendi2022-07-15T10:24:31Z2022-08-182022-08-18T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.14/38219eng2045-992010.1093/rapstu/raac00185141232031000841936200005info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-01-16T01:44:18Zoai:repositorio.ucp.pt:10400.14/38219Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T18:31:09.306685Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Equity risk premium predictability from cross-sectoral downturns
title Equity risk premium predictability from cross-sectoral downturns
spellingShingle Equity risk premium predictability from cross-sectoral downturns
Faias, José Afonso
title_short Equity risk premium predictability from cross-sectoral downturns
title_full Equity risk premium predictability from cross-sectoral downturns
title_fullStr Equity risk premium predictability from cross-sectoral downturns
title_full_unstemmed Equity risk premium predictability from cross-sectoral downturns
title_sort Equity risk premium predictability from cross-sectoral downturns
author Faias, José Afonso
author_facet Faias, José Afonso
Zambrano, Juan Arismendi
author_role author
author2 Zambrano, Juan Arismendi
author2_role author
dc.contributor.none.fl_str_mv Veritati - Repositório Institucional da Universidade Católica Portuguesa
dc.contributor.author.fl_str_mv Faias, José Afonso
Zambrano, Juan Arismendi
description We illustrate the role of left tail dependence—left tail mean (LTM)—in equity risk premium (ERP) predictability. LTM measures the average of pairwise left tail dependency among major equity sectors incorporating shocks imperceptible at the aggregate level. LTM, as well as the variance risk premium, significantly predicts the ERP in and out of sample, which is not the case with commonly used predictors. We find this predictability is the result of procyclical shocks’ reversals in a stable business cycle. This paper contributes to the ongoing debate on ERP predictability. (JEL G10, G12, G14)
publishDate 2022
dc.date.none.fl_str_mv 2022-07-15T10:24:31Z
2022-08-18
2022-08-18T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
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status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.14/38219
url http://hdl.handle.net/10400.14/38219
dc.language.iso.fl_str_mv eng
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dc.relation.none.fl_str_mv 2045-9920
10.1093/rapstu/raac001
85141232031
000841936200005
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
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repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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