第一百四十四期财务与会计学术论坛

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题目: The Price of Asymmetric Dependence 演讲者:Dr. Jaime Alcock,Joint position in University of Cambridge and University of Queensland 时间: 2011年5月20日(星期五)3:00—4:30PM 地点: 嘉庚二501 参加者: 对财务研究有兴趣的广大师生 主持人: 阮军老师 论文简介: We examine the relative importance of asymmetric dependence (AD) and systematic risk in the cross-section of US equities. Using a β-invariant AD metric, we demonstrate a lower-tail dependence premium that is only 35% of the market risk premium, compared with an upper-tail dependence discount that is 41% of the market risk premium. Lower tail dependence displays a constant price between 1989-2009. Subsequently, we find that return changes in US equities between 2007- 2009 reflected changes in systematic risk and upper-tail dependence. This suggests that both systematic risk and AD should be managed in order to reduce the return impact of market downturns. 讲座人简介: Dr. Jaime Alcock got his Doctor of Philosophy, Grad. Cert. in Financial Management and Bachelor of Arts from University of Queensland.