Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/172874
Authors: 
Nguyen, Duc Binh Benno
Prokopczuk, Marcel
Wese Simen, Chardin
Year of Publication: 
2017
Series/Report no.: 
Hannover Economic Papers (HEP) 620
Abstract: 
We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns. Buying stocks with high sensitivities to World Fear while selling stocks with low sensitivities generates excess returns of up to 2.72% per month.
Subjects: 
Jump Risk
Tail Risk
International Stock Market Returns
Return Predictability
International Asset Pricing
Factor Models
JEL: 
G01
G11
G12
G17
Document Type: 
Working Paper

Files in This Item:
File
Size
756.3 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.