Erasmus School of Economics
Erasmus School of Economics

Tail Risk and Asset Prices in the Short-Term

EI-Econometrics Seminar
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Speaker
Caio Ibsen Rodrigues de Almeida
  • Princeton University
Date
Tuesday 14 Mar 2023, 12:00 - 13:00
Type
Seminar
Spoken Language
English
Room
ET-18
Building
E Building
Location
Campus Woudestein
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We combine high-frequency stock returns with risk-neutralisation to extract the daily common component of tail risks perceived by investors in the cross-section of firms.

Our tail risk measure significantly predicts the equity premium and variance risk premium at short-horizons. Furthermore, a long-short portfolio built by sorting stocks on their recent exposure to tail risk generates abnormal returns with respect to standard factor models and helps explain the momentum anomaly. Incorporating investors' preferences via risk-neutralisation is fundamental to our findings.

  • About Caio Almeida: Caio Almeida holds a BS in Computer Engineering, a masters and a PhD in Electrical Engineering with emphasis on statistics and decision theory. He was the president of the Brazilian Society of Finance (2013-15), an associate editor of the Journal of Banking and Finance (2011-17) and since 2015 is an associate editor of the Journal of Financial Econometrics.

    After thirteen years, seven of which as a tenured associate professor at Fundacao Getulio Vargas in Brazil (2006-19), Caio took the challenge of moving to Princeton University where he is currently a researcher and director of graduate studies at the Department of Economics.

    He has published in leading finance and econometrics academic journals such as the Journal of Financial Economics, the Journal of Econometrics, Management Science, and the Journal of Business and Economic Statistics, among others.

    His research focuses on asset pricing with emphasis in providing new theory-oriented methodologies to test economic models, build risk measures and reconcile information across interrelated markets.

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You can sign up for this seminar by sending an email to Secretariat Econometrics: eb-secr@ese.eur.nl

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