Risk Characteristic on Fat-tails of Return Distribution: An Evidence of the Korean Stock Market

• 발행기관: 강원대학교 경영경제연구소
• 저자명: Cheoljun Eom
• 간행물 정보: 『아태비즈니스연구』제11권 제4호, 37~48쪽, 전체 12쪽
• 주제분류: 인문학 > 문학
• 파일형태: PDF
• 발행일자: 2020.12.30

영문 초록

Purpose - This study empirically investigates whether the risk property included in fat-tails of return distributions is systematic or unsystematic based on the devised statistical methods. Design/methodology/approach - This study devised empirical designs based on two traditional methods: principal component analysis (PCA) and the testing method of portfolio diversification effect. The fatness of the tails in return distributions is quantitatively measured by statistical probability. Findings - According to the results, the risk property in the fat-tails of return distributions has the economic meanings of eigenvalues having a value greater than 1 through PCA, and also systematic risk that cannot be removed through portfolio diversification. In other words, the fat-tails of return distributions have the properties of the common factors, which may explain the changes of stock returns. Meanwhile, the fatness of the tails in the portfolio return distributions shows the asymmetric relationship of common factors on the tails of return distributions. The negative tail in the portfolio return distribution has a much closer relation with the property of common factors, compared to the positive tail. Research implications or Originality - This empirical evidence may complement the existing studies related to tail risk which is utilized in pricing models as a common factor.

목차

Ⅰ. Introduction

Ⅱ. Empirical Design

Ⅲ. Results

Ⅳ. Conclusions

References

키워드

Fat-tails of Return Distribution Principal Component Analysis Portfolio Diversification Random Matrix Theory Singular Value Decomposition