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The Effect of Diversification on Tail Risk: Evidence from US Equity Mutual Fund Portfolios

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  • Simon Xu
  • Inchang Hwang
  • Francis In

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  • Simon Xu & Inchang Hwang & Francis In, 2016. "The Effect of Diversification on Tail Risk: Evidence from US Equity Mutual Fund Portfolios," International Review of Finance, International Review of Finance Ltd., vol. 16(3), pages 483-495, September.
    • Handle: RePEc:bla:irvfin:v:16:y:2016:i:3:p:483-495
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    References listed on IDEAS

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    1. Hwang, Soosung & Satchell, Stephen E, 1999. "Modelling Emerging Market Risk Premia Using Higher Moments," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 4(4), pages 271-296, October.
    2. Tim Bollerslev & Viktor Todorov, 2011. "Tails, Fears, and Risk Premia," Journal of Finance, American Finance Association, vol. 66(6), pages 2165-2211, December.
    3. Raj Aggarwal & Reena Aggarwal, 1993. "Security Return Distributions And Market Structure: Evidence From The Nyse/Amex And The Nasdaq Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 16(3), pages 209-220, September.
    4. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
    5. Bryan Kelly & Hao Jiang, 2014. "Editor's Choice Tail Risk and Asset Prices," The Review of Financial Studies, Society for Financial Studies, vol. 27(10), pages 2841-2871.
    6. Namwon Hyung, 2005. "Portfolio Diversification Effects of Downside Risk," Journal of Financial Econometrics, Oxford University Press, vol. 3(1), pages 107-125.
    7. Brys, Guy & Hubert, Mia & Struyf, Anja, 2006. "Robust measures of tail weight," Computational Statistics & Data Analysis, Elsevier, vol. 50(3), pages 733-759, February.
    8. Huang, Wei & Liu, Qianqiu & Ghon Rhee, S. & Wu, Feng, 2012. "Extreme downside risk and expected stock returns," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1492-1502.
    9. Leyuan You & Robert T. Daigler, 2010. "Using Four‐Moment Tail Risk to Examine Financial and Commodity Instrument Diversification," The Financial Review, Eastern Finance Association, vol. 45(4), pages 1101-1123, November.
    10. Simkowitz, Michael A. & Beedles, William L., 1978. "Diversification in a Three-Moment World," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(5), pages 927-941, December.
    11. Namwon Hyung & Casper G. de Vries, 2005. "Portfolio Diversification Effects of Downside Risk," Tinbergen Institute Discussion Papers 05-008/2, Tinbergen Institute.
    12. Turan G. Bali & Nusret Cakici & Robert F. Whitelaw, 2014. "Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 4(2), pages 206-246.
    13. Scott, Robert C & Horvath, Philip A, 1980. "On the Direction of Preference for Moments of Higher Order Than the Variance," Journal of Finance, American Finance Association, vol. 35(4), pages 915-919, September.
    14. Francis, Jack Clark, 1975. "Skewness and Investors' Decisions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 10(1), pages 163-172, March.
    15. C. James Hueng & Ruey Yau, 2006. "Investor preferences and portfolio selection: is diversification an appropriate strategy?," Quantitative Finance, Taylor & Francis Journals, vol. 6(3), pages 255-271.
    16. Campbell R. Harvey & Akhtar Siddique, 2000. "Conditional Skewness in Asset Pricing Tests," Journal of Finance, American Finance Association, vol. 55(3), pages 1263-1295, June.
    17. Kraus, Alan & Litzenberger, Robert H, 1976. "Skewness Preference and the Valuation of Risk Assets," Journal of Finance, American Finance Association, vol. 31(4), pages 1085-1100, September.
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