The Risk of Individual Stocks’ Tail Dependence with the Market and Its Effect on Stock Returns

Table 3

Summary statistics for portfolios sorted by preranking TDCs. This table presents the full-period tail dependence coefficients, and the time-series averages of other characteristics for portfolios sorted by preranking tail dependence coefficients (TDCs) monthly. RETURN here is the average of postranking monthly returns. All other variables are defined as in Table 2. The portfolios with subscripts from 1 to 5 contain the stocks ranked by the preranking TDCs from the lowest to the highest.

Portfolios	RETURN	TDC	BETA	DBETA	SIZE	BTM	LEV	E/P	ASQT	TURN	MTM	VOL
	−0.287	0.600	0.841	0.918	2.743	0.517	0.489	0.032	0.273	15.989	0.491	5.008
	−0.317	0.791	0.950	1.022	1.522	0.523	0.542	0.022	0.315	18.700	0.273	5.274
	−0.193	0.827	1.001	1.020	1.188	0.540	0.550	0.019	0.344	20.548	0.153	5.353
	−0.148	0.846	1.025	1.057	0.969	0.531	0.581	0.014	0.384	21.108	0.092	5.425
	−0.090	0.823	1.056	1.085	0.738	0.512	0.675	0.010	0.431	23.636	0.020	5.447