Can tail risk explain size, book‐to‐market, momentum, and idiosyncratic volatility anomalies?
研究了尾部风险对规模、账面市值比、动量和特质波动率排序的投资组合收益的影响，发现尾部风险有助于解释这四个定价异象，尤其是规模和特质波动率异象。
Abstract We examine the impact of tail risk on the return dynamics of size, book‐to‐market ratio, momentum and idiosyncratic volatility sorted portfolios. Our time‐series analyses document significant portfolio return exposures to aggregate tail risk. In particular, portfolios that contain small, value, high idiosyncratic volatility and low momentum stocks exhibit negative and statistically significant tail risk betas. Our cross‐sectional analyses at the individual stock level suggest that tail risk helps in explaining the four pricing anomalies, particularly size and idiosyncratic volatility anomalies.