英文标题：
《Tail Risks, Investment Horizons, and Asset Prices》
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作者：
Jozef Barun\\\'ik and Mat\\v{e}j Nevrla
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最新提交年份：
2020
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英文摘要：
We show that the two important sources of risk -- market tail risk and extreme market volatility risk -- are priced in the cross-section of asset returns heterogeneously across horizons. Specifically, we find that tail risk is a short-term phenomenon whereas extreme volatility risk is priced by investors in the long-term. These risks stem from a dependence structures in the joint distribution of stochastic discount factor and asset returns at various investment horizons that are more general than usually assumed by traditional covariance-based measures. The risk premium we document suggests that investors care about the transitory as well as persistent shocks.
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中文摘要：
我们表明，两个重要的风险来源——市场尾部风险和极端市场波动性风险——在资产回报的横截面上，在不同的水平上进行了不同的定价。具体而言，我们发现尾部风险是一种短期现象，而极端波动性风险是由投资者在长期定价的。这些风险源于随机贴现因子和资产收益在不同投资期限的联合分布中的依赖结构，这种依赖结构比传统的基于协方差的度量通常假设的更为普遍。我们记录的风险溢价表明，投资者关心的是短暂和持续的冲击。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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