- Speaker
- Date
- Tuesday 14 Mar 2023, 12:00 - 13:00
- Type
- Seminar
- Spoken Language
- English
- Room
- ET-18
- Building
- E Building
- Location
- Campus Woudestein
![Image - Stocks](/sites/corporate/files/styles/responsive_w50/public/2022-05/stocks.jpg.webp?itok=_HAWIBh6)
We combine high-frequency stock returns with risk-neutralisation to extract the daily common component of tail risks perceived by investors in the cross-section of firms.
Our tail risk measure significantly predicts the equity premium and variance risk premium at short-horizons. Furthermore, a long-short portfolio built by sorting stocks on their recent exposure to tail risk generates abnormal returns with respect to standard factor models and helps explain the momentum anomaly. Incorporating investors' preferences via risk-neutralisation is fundamental to our findings.
Organisers
- More information
You can sign up for this seminar by sending an email to Secretariat Econometrics: eb-secr@ese.eur.nl