144th Seminar on Finance and Accounting

Topic: The Price of Asymmetric Dependence

 

PresenterDr. Jaime Alcock,Joint position in University of Cambridge and University of Queensland

 

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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