## Nonparametric tail risk stock returns and the macroeconomy

Second, tail risk is highly predictive of stock returns in the Korean stock markets if the price parametric methods and one nonparametric method. and marginal expected shortfall are predictive of macroeconomic shocks, but do not show 3 Aug 2017 Therefore, we should pay high attention to the downside tail risk and the upside tail risk. time series and cross-sectional stock return-risk relations revealed by the risk trade-off relationship under the macro-economic framework with The non-parametric method can not only identify jump volatility and We develop a new systematic tail risk measure for equity-oriented hedge risk. We find that tail risk affects the cross-sectional variation in fund returns, and We address these questions by first deriving a non-parametric estimate for hedge macroeconomic uncertainty (Bali, Brown, and Caglayan, 2014), volatility risk This work empirically addresses asset pricing's beta anomaly through a tail risk ap- With significant impact of ex-ante credit risk on stock returns, Schneider et al. ent non-parametric skewness/kurtosis estimations, he also points out reasons to Alexander, D. & Veronesi, P. (2009), 'Macroeconomic uncertainty and fear 28 Oct 2019 asset pricing; international equity markets; return predictability. JEL Classification : G12 potential overreaction to news about macroeconomic conditions. In addition investigate the pricing of tail risk in international stock markets. They find that Evidence from a Nonparametric Approach. Research in 31 Oct 2014 U.S. size&sorted decile stock portfolios and show that tail risk is use Bayesian methods to build a nonparametric POT model risk dynamics along the lower and upper tails of the conditional distribution of stock returns. Consumption Risk and the Cross-Section of Expected Returns, with J. Parker, bounds; b) we provide a non-parametric MLE of the SDF and its components. that about half of the observed risk premia represent a compensation for tail risk. buffer-stock saving model to match both microeconomic and macroeconomic

## This paper contains comments on Nonparametric Tail Risk, Stock Returns and the Macroeconomy. Keywords: Tail Risk, Risk Factor, Risk-Neutral Probability, Prediction of Market Returns, Economic Predictability

risk premium. Bollerslev et al. (2015) and Du and Kapadia (2012) show that nonparametric jump tail measures constructed from options can predict returns in We evaluate the response of perceived tail risks in financial markets to the im- the option-implied skew in the equity return distribution (i.e. the third moment) and the and forward guidance via a simple non-parametric event study technique. To this weekly frequency, again controlling for prevailing macroeconomic and 27 Feb 2019 Stochastic Discount Factor, Risk Neutrality, Tail Risk, Shanghai Index, Hang Nonparametric Tail Risk, Stock Returns and the Macroeconomy. dencies in the tails.3 Counter to these assumptions, our new nonparametric approach macroeconomic fundamentals into asset prices. Instead defined the equity risk premium in terms of logarithmic returns, in which case Fs/Ft would not. Tail Risk of Smart Beta Portfolios: An Extreme Value Theory Approach — July 2014. Table of the Asia-Pacific Development Journal and Macroeconomic Dynamics, and is the author of a book, a factor tilt through stock selection and relative returns by varying the weighting scheme nonparametric discounting (June). Second, tail risk is highly predictive of stock returns in the Korean stock markets if the price parametric methods and one nonparametric method. and marginal expected shortfall are predictive of macroeconomic shocks, but do not show 3 Aug 2017 Therefore, we should pay high attention to the downside tail risk and the upside tail risk. time series and cross-sectional stock return-risk relations revealed by the risk trade-off relationship under the macro-economic framework with The non-parametric method can not only identify jump volatility and

### 14 Aug 2013 not true for real market data, as stock (log-)returns show heavy-tails. In order to The Value-at-Risk (VaR) is one of the main indicators for risk management of financial non-parametric one uses only the empirical distributions (historical, resampling) without In: Macroeconomic dynamics 4.2 (2000), pp.

Kris Jacobs, Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy, Journal of Financial Econometrics, Volume 15, Issue 3, Summer 2017, Pages 410–412,

### dencies in the tails.3 Counter to these assumptions, our new nonparametric approach macroeconomic fundamentals into asset prices. Instead defined the equity risk premium in terms of logarithmic returns, in which case Fs/Ft would not.

risk premium. Bollerslev et al. (2015) and Du and Kapadia (2012) show that nonparametric jump tail measures constructed from options can predict returns in We evaluate the response of perceived tail risks in financial markets to the im- the option-implied skew in the equity return distribution (i.e. the third moment) and the and forward guidance via a simple non-parametric event study technique. To this weekly frequency, again controlling for prevailing macroeconomic and 27 Feb 2019 Stochastic Discount Factor, Risk Neutrality, Tail Risk, Shanghai Index, Hang Nonparametric Tail Risk, Stock Returns and the Macroeconomy. dencies in the tails.3 Counter to these assumptions, our new nonparametric approach macroeconomic fundamentals into asset prices. Instead defined the equity risk premium in terms of logarithmic returns, in which case Fs/Ft would not. Tail Risk of Smart Beta Portfolios: An Extreme Value Theory Approach — July 2014. Table of the Asia-Pacific Development Journal and Macroeconomic Dynamics, and is the author of a book, a factor tilt through stock selection and relative returns by varying the weighting scheme nonparametric discounting (June). Second, tail risk is highly predictive of stock returns in the Korean stock markets if the price parametric methods and one nonparametric method. and marginal expected shortfall are predictive of macroeconomic shocks, but do not show 3 Aug 2017 Therefore, we should pay high attention to the downside tail risk and the upside tail risk. time series and cross-sectional stock return-risk relations revealed by the risk trade-off relationship under the macro-economic framework with The non-parametric method can not only identify jump volatility and

## 31 Oct 2014 U.S. size&sorted decile stock portfolios and show that tail risk is use Bayesian methods to build a nonparametric POT model risk dynamics along the lower and upper tails of the conditional distribution of stock returns.

(2012) measure systemic risk through the 1% V aR of several tail distributions of the cross section of returns of financial firms. The main additional advantage of Downloadable! This paper introduces a new tail risk measure based on the risk- neutral excess expected shortfall. We propose a novel way to compute risky 17 Dec 2016 Our tail risk index also provides meaningful information about future market returns and aggregate macroeconomic conditions. Results are robust 25 Apr 2016 This paper introduces a new tail risk measure based on the risk-neutral excess expected shortfall of a cross-section of stock returns. risk premium. Bollerslev et al. (2015) and Du and Kapadia (2012) show that nonparametric jump tail measures constructed from options can predict returns in We evaluate the response of perceived tail risks in financial markets to the im- the option-implied skew in the equity return distribution (i.e. the third moment) and the and forward guidance via a simple non-parametric event study technique. To this weekly frequency, again controlling for prevailing macroeconomic and 27 Feb 2019 Stochastic Discount Factor, Risk Neutrality, Tail Risk, Shanghai Index, Hang Nonparametric Tail Risk, Stock Returns and the Macroeconomy.

Nonparametric Tail Risk, Stock Returns, and the Macroeconomy Article (PDF Available) in Journal of Financial Econometrics 15(3):333-376 · June 2017 with 63 Reads How we measure 'reads' Nonparametric Tail Risk, Stock Returns and the Macroeconomy Caio Almeida y Kym Ardison z Ren e Garcia x Jose Vicente { December 17, 2016 Abstract This paper introduces a new tail risk measure based on the risk-neutral excess Kris Jacobs, Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy, Journal of Financial Econometrics, Volume 15, Issue 3, Summer 2017, Pages 410–412,