Publication
Predicting the equity risk premium using the smooth cross-sectional tail risk: the importance of correlation
| dc.contributor.author | Faias, José Afonso | |
| dc.date.accessioned | 2022-07-21T12:55:01Z | |
| dc.date.available | 2022-07-21T12:55:01Z | |
| dc.date.issued | 2023-03-01 | |
| dc.description.abstract | I provide a new monthly cross-sectional measure of stock market tail risk, SCSTR, defined as the average of the daily cross-sectional tail risk, rather than the tail risk of the pooled daily returns within a month. Through simulations, I find that SCSTR better captures monthly tail risk rather than merely the tail risk on specific days within a month. In an extended period from 1964 until 2018, this difference is important in generating strong in- and out-of-sample predictability and performs better than the historical risk premium and other commonly-used predictors for short- and long-term horizons. | pt_PT |
| dc.description.version | info:eu-repo/semantics/publishedVersion | pt_PT |
| dc.identifier.doi | 10.1016/j.finmar.2022.100769 | pt_PT |
| dc.identifier.eid | 85134845544 | |
| dc.identifier.issn | 1386-4181 | |
| dc.identifier.uri | http://hdl.handle.net/10400.14/38328 | |
| dc.identifier.wos | 000992764800001 | |
| dc.language.iso | eng | pt_PT |
| dc.peerreviewed | yes | pt_PT |
| dc.rights.uri | http://creativecommons.org/licenses/by/4.0/ | pt_PT |
| dc.subject | Equity premium | pt_PT |
| dc.subject | Prediction | pt_PT |
| dc.subject | Cross-sectional | pt_PT |
| dc.title | Predicting the equity risk premium using the smooth cross-sectional tail risk: the importance of correlation | pt_PT |
| dc.type | journal article | |
| dspace.entity.type | Publication | |
| oaire.citation.title | Journal of Financial Markets | pt_PT |
| oaire.citation.volume | 63 | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | article | pt_PT |