We test for the presence of a tail risk premium in the cross-section of mutual fund returns and find that the top tail risk quintile of funds outperforms the bottom by 4.4% per annum. This premium is not simply a reward for market risk, nor do commonly used risk factors offer an adequate explanation. Our findings hold across double-sorted portfolios formed on tail risk and a number of fund characteristics. We also find that funds susceptible to tail risk tend to be small, young, have high management fees, and have managers who do not risk their own capital.
Study intent to identify the direct (indirect) risk factors that can influence the export of medical instruments from SMEs sector of Pakistan by using the time series monthly data sample for a period of fifteen years that is from FY 2003 to FY 2017. Empirically a strong long term relation between the export of medical instruments with operational risk, market risk, export refinance schemes and steel prices are proven by Johansen co-integration. Study also establishes a direct positive relation of operational risk and market risk with the export of medical instruments as a result of Vector Error Correction Model.
Augmented factor models with applications to validating market risk factors and forecasting bond risk premia
