Risk Factors’ Cpdag Roots and the Cross-Section of Expected Returns

2020 ◽  
Author(s):  
Fernando Tassinari Moraes ◽  
Rodrigo De-Losso
Keyword(s):  
Risk Factors ◽  
Cross Section ◽  
Expected Returns ◽  
The Cross

scholarly journals Tail Risk and the Cross-Section of Mutual Fund Expected Returns

2018 ◽  
Vol 54 (1) ◽  
pp. 425-447 ◽  
Author(s):  
Nikolaos Karagiannis ◽  
Konstantinos Tolikas
Keyword(s):  
Risk Factors ◽  
Cross Section ◽  
Risk Premium ◽  
Mutual Fund ◽  
Market Risk ◽  
Expected Returns ◽  
Adequate Explanation ◽  
Tail Risk ◽  
Management Fees ◽  
The Cross

We test for the presence of a tail risk premium in the cross-section of mutual fund returns and find that the top tail risk quintile of funds outperforms the bottom by 4.4% per annum. This premium is not simply a reward for market risk, nor do commonly used risk factors offer an adequate explanation. Our findings hold across double-sorted portfolios formed on tail risk and a number of fund characteristics. We also find that funds susceptible to tail risk tend to be small, young, have high management fees, and have managers who do not risk their own capital.

The Cross-Section of Volatility and Expected Returns: Then and Now

2019 ◽  
Author(s):  
Andrew L. Detzel ◽  
Jefferson Duarte ◽  
Avraham Kamara ◽  
Stephan Siegel ◽  
Celine Sun
Keyword(s):  
Cross Section ◽  
Expected Returns ◽  
The Cross
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