Average tail risk and aggregate stock returns
Yingtong Dai, Richard D.F. Harris
| Year of publication: |
2023
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|---|---|
| Authors: | Dai, Yingtong ; Harris, Richard D. F. |
| Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 82.2023, p. 1-15
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| Subject: | Aggregate equity returns | Systematic risk | Idiosyncratic risk | Higher moments | Tail risk | Kapitaleinkommen | Capital income | Risiko | Risk | Statistische Verteilung | Statistical distribution | Schätzung | Estimation | Börsenkurs | Share price | Volatilität | Volatility | Kapitalmarktrendite | Capital market returns | Risikomaß | Risk measure | Systemrisiko | Systemic risk | CAPM |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.intfin.2022.101699 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014245903