Abstract

http://ssrn.com/abstract=2266042
 
 

References (16)



 


 



The Tails of the Return Distribution and Asset Prices


Benjamin M. Blau


Utah State University - Huntsman School of Business

Ryan J. Whitby


Utah State University - Huntsman School of Business

November 13, 2015


Abstract:     
This study examines how the thickness and width of the tails of return distributions affect expected returns. Contrary to the idea that thicker tails represent risk that is directly related to expected returns, we find that kurtosis is negatively related to expected returns. These results hold in a number of multifactor models and Fama-MacBeth (1973) regressions that include common controls. We find stronger evidence that the width of the return distribution has a return premium that is substantially more negative than kurtosis.

Number of Pages in PDF File: 31

Keywords: Kurtosis, Leptokurtic Risk


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Date posted: May 17, 2013 ; Last revised: November 14, 2015

Suggested Citation

Blau, Benjamin M. and Whitby, Ryan J., The Tails of the Return Distribution and Asset Prices (November 13, 2015). Available at SSRN: http://ssrn.com/abstract=2266042 or http://dx.doi.org/10.2139/ssrn.2266042

Contact Information

Benjamin M. Blau (Contact Author)
Utah State University - Huntsman School of Business ( email )
3500 Old Main Hill
Logan, UT 84322
United States
Ryan J. Whitby
Utah State University - Huntsman School of Business ( email )
3500 Old Main Hill
Logan, UT 84322-3500
United States
435.797.9495 (Phone)
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