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On the determinants of tail risk
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| 1.08 MB | Adobe PDF |
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Orientador(es)
Resumo(s)
This paper aims to describe tail risk dynamics in the U.S equity market and put it in context of
ESG practices. By estimating a firm-specific conditional tail index, the paper looks at the
different dynamics that firm-specific characteristics play in the cross-section of firms with
different loadings of Reputational Risk. The graphical evidence presented suggests that firms
tail risk with lower Reputational Risk, indeed are less likely to be affected by market wide
uneasiness.
Descrição
Palavras-chave
Esg Time varying risk Tail risk Risk management Evt Conditional tail index Conditional expected returns