Matches in SemOpenAlex for { <https://semopenalex.org/work/W2310047897> ?p ?o ?g. }
- W2310047897 abstract "We propose a new measure of country left tail dependence defined as the average pairwise of left tail dependency among major sectors which significantly predicts the equity risk premium in- and out-of-sample. This measure endogenously incorporates asynchronous sectorial shocks which are imperceptible at the aggregate level. Using this measure as a predictor in an asset allocation exercise yields a strategy with positive skewness and an out-of-sample Sharpe ratio of 0.56 from 1998 to 2013, a twofold increase when compared to using either the usual predictors, such as the dividend yield or the Treasury bill rate, or assuming no predictability." @default.
- W2310047897 created "2016-06-24" @default.
- W2310047897 creator A5019244687 @default.
- W2310047897 creator A5067794900 @default.
- W2310047897 date "2015-01-01" @default.
- W2310047897 modified "2023-10-01" @default.
- W2310047897 title "Mind the Tails" @default.
- W2310047897 cites W1789808336 @default.
- W2310047897 cites W1827554748 @default.
- W2310047897 cites W1934944118 @default.
- W2310047897 cites W2005432509 @default.
- W2310047897 cites W2027063727 @default.
- W2310047897 cites W2047775520 @default.
- W2310047897 cites W2080450677 @default.
- W2310047897 cites W2085647375 @default.
- W2310047897 cites W2086229640 @default.
- W2310047897 cites W2086372574 @default.
- W2310047897 cites W2101958621 @default.
- W2310047897 cites W2117178635 @default.
- W2310047897 cites W2124601071 @default.
- W2310047897 cites W2137608217 @default.
- W2310047897 cites W2141185104 @default.
- W2310047897 cites W2144570112 @default.
- W2310047897 cites W2147948192 @default.
- W2310047897 cites W2151065060 @default.
- W2310047897 cites W2155263147 @default.
- W2310047897 cites W2165714389 @default.
- W2310047897 cites W2240968826 @default.
- W2310047897 cites W2553992319 @default.
- W2310047897 cites W2570834760 @default.
- W2310047897 cites W2741744866 @default.
- W2310047897 cites W2791251266 @default.
- W2310047897 cites W2802344418 @default.
- W2310047897 cites W2891832533 @default.
- W2310047897 cites W2914489443 @default.
- W2310047897 cites W3012115342 @default.
- W2310047897 cites W3121251852 @default.
- W2310047897 cites W3121513733 @default.
- W2310047897 cites W3121757396 @default.
- W2310047897 cites W3121758033 @default.
- W2310047897 cites W3122050516 @default.
- W2310047897 cites W3122070388 @default.
- W2310047897 cites W3122087145 @default.
- W2310047897 cites W3122554332 @default.
- W2310047897 cites W3123627733 @default.
- W2310047897 cites W3123979895 @default.
- W2310047897 cites W3124041622 @default.
- W2310047897 cites W3124049593 @default.
- W2310047897 cites W3124466994 @default.
- W2310047897 cites W3124467146 @default.
- W2310047897 cites W3124478777 @default.
- W2310047897 cites W3124485385 @default.
- W2310047897 cites W3124690764 @default.
- W2310047897 cites W3124722973 @default.
- W2310047897 cites W3124760506 @default.
- W2310047897 cites W3125349010 @default.
- W2310047897 cites W3125986346 @default.
- W2310047897 cites W3126032441 @default.
- W2310047897 cites W3126124568 @default.
- W2310047897 cites W4211170237 @default.
- W2310047897 cites W4254389086 @default.
- W2310047897 cites W4361980702 @default.
- W2310047897 doi "https://doi.org/10.2139/ssrn.2617242" @default.
- W2310047897 hasPublicationYear "2015" @default.
- W2310047897 type Work @default.
- W2310047897 sameAs 2310047897 @default.
- W2310047897 citedByCount "0" @default.
- W2310047897 crossrefType "journal-article" @default.
- W2310047897 hasAuthorship W2310047897A5019244687 @default.
- W2310047897 hasAuthorship W2310047897A5067794900 @default.
- W2310047897 hasConcept C101161028 @default.
- W2310047897 hasConcept C10138342 @default.
- W2310047897 hasConcept C105795698 @default.
- W2310047897 hasConcept C106159729 @default.
- W2310047897 hasConcept C116168712 @default.
- W2310047897 hasConcept C122342681 @default.
- W2310047897 hasConcept C139938925 @default.
- W2310047897 hasConcept C149782125 @default.
- W2310047897 hasConcept C162324750 @default.
- W2310047897 hasConcept C166957645 @default.
- W2310047897 hasConcept C17744445 @default.
- W2310047897 hasConcept C181236170 @default.
- W2310047897 hasConcept C184530449 @default.
- W2310047897 hasConcept C197640229 @default.
- W2310047897 hasConcept C199539241 @default.
- W2310047897 hasConcept C199728807 @default.
- W2310047897 hasConcept C2780821815 @default.
- W2310047897 hasConcept C2780889827 @default.
- W2310047897 hasConcept C33923547 @default.
- W2310047897 hasConcept C556758197 @default.
- W2310047897 hasConcept C59399099 @default.
- W2310047897 hasConcept C95457728 @default.
- W2310047897 hasConceptScore W2310047897C101161028 @default.
- W2310047897 hasConceptScore W2310047897C10138342 @default.
- W2310047897 hasConceptScore W2310047897C105795698 @default.
- W2310047897 hasConceptScore W2310047897C106159729 @default.
- W2310047897 hasConceptScore W2310047897C116168712 @default.
- W2310047897 hasConceptScore W2310047897C122342681 @default.
- W2310047897 hasConceptScore W2310047897C139938925 @default.
- W2310047897 hasConceptScore W2310047897C149782125 @default.