Robert Whitelaw
Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?
Abstract
We introduce a new, hybrid measure of stock return tail covariance risk, motivated by the under-diversified portfolio holdings of individual investors, and investigate its cross-sectional predictive power.
Robert Whitelaw
Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?
Abstract
We introduce a new, hybrid measure of stock return tail covariance risk, motivated by the under-diversified portfolio holdings of individual investors, and investigate its cross-sectional predictive power.
Abstract
We introduce a new hybrid measure of stock return tail covariance risk, motivated by the underdiversified portfolio holdings of individual investors, and investigate its cross-sectional predictive power.
Suggested Citation
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