共同基金
风险溢价
尾部风险
业务
开放式基金
封闭式基金
经济
财务
货币经济学
金融经济学
机构投资者
公司治理
市场流动性
作者
Nikolaos Karagiannis,Konstantinos Tolikas
标识
DOI:10.1017/s0022109018000650
摘要
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.
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