Publicação
Cross-sectional tail risk and equity premium prediction
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | |
| dc.contributor.advisor | Faias, José | |
| dc.contributor.author | Onyshchenko, Pavlo | |
| dc.date.accessioned | 2015-03-06T14:12:30Z | |
| dc.date.available | 2015-03-06T14:12:30Z | |
| dc.date.issued | 2014-10-21 | |
| dc.date.submitted | 2014 | |
| dc.description.abstract | 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. | por |
| dc.identifier.tid | 201181738 | |
| dc.identifier.uri | http://hdl.handle.net/10400.14/16835 | |
| dc.language.iso | eng | por |
| dc.title | Cross-sectional tail risk and equity premium prediction | por |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | por |
| rcaap.type | masterThesis | por |
| thesis.degree.name | Mestrado em Finanças |