Cross-sectional tail risk and equity premium prediction

Detalhes bibliográficos
Autor(a) principal: Onyshchenko, Pavlo
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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spelling 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 reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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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
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