Review of Asset Pricing Studies, Volume 8, Issue 1, June 2018, Pages 36–76

总体尾部风险和预期收益

作者：David A Chapman (University of Virginia, USA),

Michael F Gallmeyer (University of Virginia, USA),

J Spencer Martin (University of Melbourne, Australia)

摘要：股票有崩盘风险溢价吗?我们检验了Kelly和Jiang(2014)的尾部指数测度的实证表现。研究发现尾部指数解释了收益率折现率部分的横截面，而不是现金流部分。此外，在时间序列中，尾部指数与总体不确定性和系统风险的理论动机度量不相关。相反，尾部指数和期限结构水平互为格兰杰原因，而且期限结构的斜率是尾部风险的格兰杰原因。

Aggregate Tail Risk and Expected Returns

David A Chapman (University of Virginia, USA), Michael F Gallmeyer (University of Virginia, USA), J Spencer Martin (University of Melbourne, Australia)

ABSTRACT

Do stocks bear a crash risk premium? We examine the empirical performance of the tail index measure from Kelly and Jiang (2014). We find that the tail index explains the cross-section of the discount rate component of returns, but not the cash-flow component. Moreover, in the time series the tail index is uncorrelated with theoretically motivated measures of aggregate uncertainty and systemic risk. In contrast, the tail index Granger causes and is Granger caused by the level of the term structure, and the slope of the term structure Granger causes tail risk.

原文链接：

https://academic.oup.com/raps/article-abstract/8/1/36/4831044?redirectedFrom=fulltext

翻译：阙江静