Cross-sectional tail risk and equity premium prediction
Autor(a) principal: | |
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Data de Publicação: | 2014 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.14/16835 |
Resumo: | Common predictors of U.S. equity market risk premium fail out-of-sample. We provide a new cross-sectional measure of stock market tail risk. This performs better than the historical risk premium and other commonly used predictors for short- and long-term horizons. The predictive power of cross-sectional tail risk is especially remarkable for one-month horizon forecast and during contractions. We show that under a mean-variance setting, there is an economic increase in the expected return by more than 100% in the short-term and more than 50% for longer horizons. |
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Cross-sectional tail risk and equity premium predictionDomínio/Área Científica::Ciências Sociais::Economia e GestãoCommon predictors of U.S. equity market risk premium fail out-of-sample. We provide a new cross-sectional measure of stock market tail risk. This performs better than the historical risk premium and other commonly used predictors for short- and long-term horizons. The predictive power of cross-sectional tail risk is especially remarkable for one-month horizon forecast and during contractions. We show that under a mean-variance setting, there is an economic increase in the expected return by more than 100% in the short-term and more than 50% for longer horizons.Faias, JoséVeritati - Repositório Institucional da Universidade Católica PortuguesaOnyshchenko, Pavlo2015-03-06T14:12:30Z2014-10-2120142014-10-21T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.14/16835TID:201181738enginfo: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:RCAAP2023-07-12T17:22:24Zoai:repositorio.ucp.pt:10400.14/16835Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T18:14:01.680768Repositório 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 |
Cross-sectional tail risk and equity premium prediction |
title |
Cross-sectional tail risk and equity premium prediction |
spellingShingle |
Cross-sectional tail risk and equity premium prediction Onyshchenko, Pavlo Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
Cross-sectional tail risk and equity premium prediction |
title_full |
Cross-sectional tail risk and equity premium prediction |
title_fullStr |
Cross-sectional tail risk and equity premium prediction |
title_full_unstemmed |
Cross-sectional tail risk and equity premium prediction |
title_sort |
Cross-sectional tail risk and equity premium prediction |
author |
Onyshchenko, Pavlo |
author_facet |
Onyshchenko, Pavlo |
author_role |
author |
dc.contributor.none.fl_str_mv |
Faias, José Veritati - Repositório Institucional da Universidade Católica Portuguesa |
dc.contributor.author.fl_str_mv |
Onyshchenko, Pavlo |
dc.subject.por.fl_str_mv |
Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
Common predictors of U.S. equity market risk premium fail out-of-sample. We provide a new cross-sectional measure of stock market tail risk. This performs better than the historical risk premium and other commonly used predictors for short- and long-term horizons. The predictive power of cross-sectional tail risk is especially remarkable for one-month horizon forecast and during contractions. We show that under a mean-variance setting, there is an economic increase in the expected return by more than 100% in the short-term and more than 50% for longer horizons. |
publishDate |
2014 |
dc.date.none.fl_str_mv |
2014-10-21 2014 2014-10-21T00:00:00Z 2015-03-06T14:12:30Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.14/16835 TID:201181738 |
url |
http://hdl.handle.net/10400.14/16835 |
identifier_str_mv |
TID:201181738 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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 |
repository.mail.fl_str_mv |
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1799131819068620800 |