Jump tail risk exposure and the cross-section of stock returns
从期权价格中提取新的跳跃尾部风险度量，发现股票对该风险的敏感度与预期收益负相关，年化溢价为-9.95%，且主要由下行跳跃尾部风险驱动。
We introduce a new jump tail risk measure retrieved from option prices. We examine the cross-sectional pricing of stocks according to their sensitivities to jump tail risk. We find a negative market price of jump tail risk. A high-low portfolio sorted by jump tail risk betas delivers a statistically and economically significant negative premium of -9.95% per year. Risk-adjusted returns are also negative and highly significant. We document that the negative jump tail risk premium is mainly driven by its downside jump tail risk component. On the contrary, the premium of the high-low portfolio sorted by upside jump tail risk betas is insignificant. The negative premium of downside jump tail risk is significant when controlling for various risk factor loadings and firm characteristics, and remains strong for large firms. Our results carry over to a predictive setting, in which we compare subsequent realized returns of the quintile portfolios sorted by downside jump tail risk betas estimated over the previous period. • We develop a new jump tail risk measure from option prices. • We examine the cross-sectional pricing of stocks to their jump tail risk betas. • We find a negative price of jump tail risk. • The negative jump tail risk premium is mainly driven by its downside jump tail risk component. • The premium of the downside jump tail risk is robust to controlling for various factor loadings and remains significant in large cap subsamples.