{"title":"共同基金的尾部风险和超额收益：损失-溢价平衡假说","authors":"Yuexiang Jiang, Mingzhe Wang","doi":"10.1080/00036846.2024.2387871","DOIUrl":null,"url":null,"abstract":"This paper studies the relationship between tail risk exposure and mutual fund returns using samples from January 2007 to December 2022. The TRjl calculated by Generalized Extreme Value Distributio...","PeriodicalId":7963,"journal":{"name":"Applied Economics","volume":"24 1","pages":""},"PeriodicalIF":1.8000,"publicationDate":"2024-08-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Tail risk and excess return of mutual funds: loss-premium balance hypothesis\",\"authors\":\"Yuexiang Jiang, Mingzhe Wang\",\"doi\":\"10.1080/00036846.2024.2387871\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper studies the relationship between tail risk exposure and mutual fund returns using samples from January 2007 to December 2022. The TRjl calculated by Generalized Extreme Value Distributio...\",\"PeriodicalId\":7963,\"journal\":{\"name\":\"Applied Economics\",\"volume\":\"24 1\",\"pages\":\"\"},\"PeriodicalIF\":1.8000,\"publicationDate\":\"2024-08-11\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Applied Economics\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.1080/00036846.2024.2387871\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Applied Economics","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1080/00036846.2024.2387871","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
Tail risk and excess return of mutual funds: loss-premium balance hypothesis
This paper studies the relationship between tail risk exposure and mutual fund returns using samples from January 2007 to December 2022. The TRjl calculated by Generalized Extreme Value Distributio...
期刊介绍：
Applied Economics is a peer-reviewed journal encouraging the application of economic analysis to specific problems in both the public and private sectors. It particularly fosters quantitative studies, the results of which are of use in the practical field, and thus helps to bring economic theory nearer to reality. Contributions which make use of the methods of mathematics, statistics and operations research will be welcomed, provided the conclusions are factual and properly explained.
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