Can Tail Risk Explain Size, Book‐To‐Market, Momentum, and Idiosyncratic Volatility Anomalies?
36 Pages Posted: 27 May 2020
There are 2 versions of this paper
Can Tail Risk Explain Size, Book-to-Market, Momentum, and Idiosyncratic Volatility Anomalies?
Date Written: October/November 2019
Abstract
We examine the impact of tail risk on the return dynamics of size, book‐to‐market ratio, momentum and idiosyncratic volatility sorted portfolios. Our time‐series analyses document significant portfolio return exposures to aggregate tail risk. In particular, portfolios that contain small, value, high idiosyncratic volatility and low momentum stocks exhibit negative and statistically significant tail risk betas. Our cross‐sectional analyses at the individual stock level suggest that tail risk helps in explaining the four pricing anomalies, particularly size and idiosyncratic volatility anomalies.
Keywords: anomalies, idiosyncratic volatility, momentum, size, tail risk, value
JEL Classification: C4, G11, G12
Suggested Citation: Suggested Citation
Here is the Coronavirus
related research on SSRN
Can Tail Risk Explain Size, Book‐To‐Market, Momentum, and Idiosyncratic Volatility Anomalies?
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $42.00 .
File name: JBFA.pdf
Size: 0K
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
