TY - JOUR
T1 - Tail Risk and the Cross-Section of Mutual Fund Expected Returns
AU - Karagiannis, Nikolaos
AU - Tolikas, Konstantinos
N1 - The final publication is available via Cambridge Journals Online at
https://doi.org/10.1017/S0022109018000650
PY - 2019/2/1
Y1 - 2019/2/1
N2 - 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.
AB - 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.
UR - https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/tail-risk-and-the-crosssection-of-mutual-fund-expected-returns/DB5484B4AD108AE0C70102AD0405941E
UR - http://www.scopus.com/inward/record.url?scp=85052908351&partnerID=8YFLogxK
U2 - 10.1017/S0022109018000650
DO - 10.1017/S0022109018000650
M3 - Article
SN - 0022-1090
VL - 54
SP - 425
EP - 447
JO - Journal of Financial and Quantitative Analysis
JF - Journal of Financial and Quantitative Analysis
IS - 1
ER -