Template-Type: ReDIF-Article 1.0 
Author-Name: Ahamuefula E. Ogbonna
Author-Name: Olusanya E. Olubusoye
Author-Email:  ae.ogbonna@cear.org.ng
Author-Workplace-Name:  Centre for Econometric and Allied Research & Department of Statistics, University of Ibadan, Nigeria
Title: Tail Risks and Stock Return Predictability - Evidence From Asia-Pacific
Abstract:  Hinging on the recently established relevance of tail thickness information, we examine the predictability of fifteen major stocks in the Asia-Pacific region using conditional autoregressive value at risk (CAViaR) model estimates of tail risks. We used a Westerlund and Narayan–type distributed lag model to examine the nexus between returns and tail risk under controlled global and US stocks spillover effects. Country-specific tail risks induce a near-term rise (completely disappears) in returns on “bad” (“good”) days. Our results are robust.
Classification-JEL:  G15
Keywords:  tail risks,predictability,conditional autoregressive value at risk
Journal:  Asian Economics Letters
Pages: 1-6
Volume: 2
Issue: 3
Year:  2021
DOI:  2021/10/06
File-URL:  https://a-e-l.scholasticahq.com/api/v1/articles/24417-tail-risks-and-stock-return-predictability-evidence-from-asia-pacific.pdf
File-Format:  Application/pdf
Handle:  RePEc:ayb:jrnael:40