第一百四十四期财务与会计学术论坛

题目: The Price of Asymmetric Dependence

 

演讲者Dr. Jaime Alcock,Joint position in University of Cambridge and University of Queensland

 

点击浏览下一页

 

时间: 2011年5月20日(星期五)3:00—4:30PM

 

地点: 嘉庚二501

 

参加者: 对财务研究有兴趣的广大师生

 

主持人: 阮军老师

 

论文简介:

 

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.

 

讲座人简介:

 

Dr. Jaime Alcock got his Doctor of Philosophy, Grad. Cert. in Financial Management and Bachelor of Arts from University of Queensland.

 

下载:AlcockHatherley2010.pdf