Is tail risk priced in the cross-section of international stock index returns?
This study examines the predictive power of tail risk measures in stock indices returns using a comprehensive dataset covering 50 countries from 1926 to 2021. Our findings reveal that tail risk measures exhibit predictive power when considered independently. However, their forecasting abilities disa...
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| Médium: | Článek |
| Jazyk: | English |
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Modern Finance Institute
2023-08-01
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| Edice: | Modern Finance |
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| On-line přístup: | https://mf-journal.com/article/view/7 |