Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F23%3A00561032" target="_blank" >RIV/67985556:_____/23:00561032 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11230/23:10474447
Result on the web
<a href="https://academic.oup.com/jfec/article-abstract/21/5/1590/6605770?redirectedFrom=fulltext&login=true" target="_blank" >https://academic.oup.com/jfec/article-abstract/21/5/1590/6605770?redirectedFrom=fulltext&login=true</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1093/jjfinec/nbac017" target="_blank" >10.1093/jjfinec/nbac017</a>

Result language
angličtina
Original language name
Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices
Original language description
This article investigates how two important sources of risk-market tail risk (TR) and extreme market volatility risk-are priced into the cross-section of asset returns across various investment horizons. To identify such risks, we propose a quantile spectral (QS) beta representation of risk based on the decomposition of covariance between indicator functions that capture fluctuations over various frequencies. We study the asymptotic behavior of the proposed estimators of such risk. Empirically, we find that TR is a short-term phenomenon, whereas ex- treme volatility risk is priced by investors in the long term when pricing a cross- section of individual stocks. In addition, we study popular industry, size and value, profit, investment, or book-to-market portfolios, as well as portfolios constructed from various asset classes, portfolios sorted on cash flow duration, and other strategies. These results reveal that tail-dependent and horizon-specific risks are priced heterogeneously across datasets and are important sources of risk for investors.
Czech name
—
Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50206 - Finance

Project
<a href="/en/project/GX19-28231X" target="_blank" >GX19-28231X: DyMoDiF - Dynamic Models for the Digital Finance</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2023
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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