Title: Jump risk and pricing implications
Authors: Nancy Zambon - University of Padova (Italy) [presenting]
Massimiliano Caporin - University of Padova (Italy)
Walter Distaso - Imperial College London (United Kingdom)
Abstract: A new common risk factor in stock returns related to the fear of future jumps is identified. The factor can be added to standard asset-pricing models leading to a five-factor model which is directed at capturing the size, value, profitability, momentum and fear in stock returns. The model outperforms a previous four-factor model.