Is tail risk priced in the cross-section of international stock index returns?
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- Ang, Andrew & Hodrick, Robert J. & Xing, Yuhang & Zhang, Xiaoyan, 2009.
"High idiosyncratic volatility and low returns: International and further U.S. evidence,"
Journal of Financial Economics, Elsevier, vol. 91(1), pages 1-23, January.
- Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2008. "High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence," NBER Working Papers 13739, National Bureau of Economic Research, Inc.
- George P. Gao & Xiaomeng Lu & Zhaogang Song, 2019. "Tail Risk Concerns Everywhere," Management Science, INFORMS, vol. 65(7), pages 3111-3130, July.
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Cited by:
- Long, Huaigang & Chiah, Mardy & Zaremba, Adam & Umar, Zaghum, 2024. "Changes in shares outstanding and country stock returns around the world," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 90(C).
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Keywords
tail risk; Left-tail risk; International markets; Equity returns; Cross-section of returns; Return predictability; Asset pricing; Equity anomalies; Idiosyncratic volatility;All these keywords.
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