Date of Award
8-2016
Degree Type
Dissertation
Degree Name
Doctor of Philosophy (PhD)
Department
Management
First Advisor
Xiaoyan Zhang
Committee Chair
Xiaoyan Zhang
Committee Member 1
Huseying Gulen
Committee Member 2
John McConnell
Committee Member 3
Yuhang Xing
Abstract
Tail risk, defined as extreme event risk in asset markets, is an important consideration for investors when making investment decisions. This paper empirically tests the role of tail risk in international market. Using sample of 40 countries from 1980 to 2014, I show that tail risk positively predicts future market returns. Across all countries, stocks with high sensitivity to past global tail risk on average will earn higher returns than stocks with low sensitivity. In addition, I show that tail risk act as a global transmission channel of contagion during crisis.
Recommended Citation
Wang, Yanchu, "Tail risk in international markets" (2016). Open Access Dissertations. 878.
https://docs.lib.purdue.edu/open_access_dissertations/878