The impact of tail risk on stock market returns: The role of market sentiment

被引：17

作者：

Chevapatrakul, Thanaset ^{[3
]}

Xu, Zhongxiang ^{[1
]}

Yao, Kai ^{[2
]}

机构：

[1] Tsinghua Univ, PBC Sch Finance, 43 Chengfu Rd, Beijing 100083, Peoples R China

[2] Southwestern Univ Finance & Econ, China Ctr Behav Econ & Finance, 555 Liutai Ave, Chengdu 611130, Peoples R China

[3] Univ Nottingham, Sch Business, Jubilee Campus,Wollaton Rd, Nottingham NG8 1BB, England

来源：

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE | 2019年 / 59卷

关键词：

Quantile regression; Stock markets; Return predictability; Asymmetry; MONETARY ENVIRONMENTS; EQUITY PREMIUM; RARE DISASTERS; REGRESSION; VOLATILITY; NORMALITY; LAWS;

D O I：

10.1016/j.iref.2018.09.005

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine the return predictability of time-varying extreme-event risk at the different points on the return distribution using quantile regression. We find evidence of strong predictive power at the lower quantiles for forecast horizons of up to one year. At the higher quantiles, however, our results show no association between tail risk and the excess stock market returns. Taken together, the evidence explains the abnormally large equity premium, observed during periods of sharp falls in stock prices when market sentiment is bearish.

引用

页码：289 / 301

页数：13

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