Topic: The Price of Asymmetric Dependence
Presenter：Dr. Jaime Alcock，Joint position in University of Cambridge and University of Queensland
Time: May 20, 2011（Friday）3:00—4:30PM
Venue: Room 501, Jiageng Bld 2
Chair： Jun Ruan, assistant professor in finance, IFAS
Abstract：
We examine the relative importance of asymmetric dependence (AD) and systematic risk in the cross-section of US equities. Using a β-invariant AD metric, we demonstrate a lower-tail dependence premium that is only 35% of the market risk premium, compared with an upper-tail dependence discount that is 41% of the market risk premium. Lower tail dependence displays a constant price between 1989-2009. Subsequently, we find that return changes in US equities between 2007- 2009 reflected changes in systematic risk and upper-tail dependence. This suggests that both systematic risk and AD should be managed in order to reduce the return impact of market downturns.
Presenter Introduction：
Dr. Jaime Alcock got his Doctor of Philosophy, Grad. Cert. in Financial Management and Bachelor of Arts from University of Queensland.
Download：AlcockHatherley2010.pdf