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

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/00216208:11230/23:10474447

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

<a href="/cs/project/GX19-28231X" target="_blank" >GX19-28231X: Dynamické modely pro digitální finance</a><br>

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2023

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Journal of Financial Econometrics

ISSN

1479-8409

e-ISSN

1479-8417

Svazek periodika

21

Číslo periodika v rámci svazku

5

Stát vydavatele periodika

GB - Spojené království Velké Británie a Severního Irska

Počet stran výsledku

57

Strana od-do

1590-1646

Kód UT WoS článku

000809393500001

EID výsledku v databázi Scopus

2-s2.0-85178358598