The Risk of Individual Stocks’ Tail Dependence with the Market and Its Effect on Stock Returns
Table 5
Cross-sectional regression. This table contains the time-series averages of the coefficients from the month-by-month regression using the standard Fama and MacBeth [19] methodology. The dependence variable is the monthly excess returns of individual stocks. The explanatory variables include postranking tail dependence coefficients and other variables are defined as in Table 2 (except that the variable “SIZE” is further taken as the logarithm). The time-series averages of adjusted are reported in the last column. -values are given in parentheses, while the values given in square brackets of last column are the improvements in by including TDC. “” denotes the fact that the corresponding coefficients are significantly different from zero at the confidence level of 5%.
Panel A: analysis based on market factors
TDC
DBETA
BETA
−0.614 (−1.380)
0.902 (2.148)
2.76%
−0.252 (−0.674)
0.038 (0.588)
0.89%
−1.190 (−0.936)
1.026 (0.750)
2.90%
−0.676 (−0.636)
0.998 (2.480)
0.052 (0.934)
−0.002 (−0.112)
4.17%
Panel B: analysis based on Fama-French factors
TDC
DBETA
BETA
SIZE
BTM
−1.133 (−1.223)
0.582 (0.589)
−0.049 (−1.061)
0.891 (4.089)
4.57%
−1.186 (−1.268)
0.041 (0.763)
0.509 (0.523)
−0.049 (−1.086)
0.873 (4.078)
5.02%
−1.014 (−1.074)
0.963 (2.970)
0.194 (0.217)
−0.033 (−0.774)
0.851 (3.973)
4.99% [+0.42%]
−1.051 (−1.114)
0.956 (2.938)
0.051 (0.945)
0.131 (0.147)
−0.033 (−0.784)
0.840 (3.979)
5.40% [+0.38%]
Panel C: analysis based on Fama-French factors and other factors
