PT  - JOURNAL ARTICLE
AU  - Sander Muns
AU  - Michiel Bijlsma
TI  - Tail Dependence: <em>A Cross-Industry Comparison</em>
AID  - 10.3905/jpm.2015.41.3.109
DP  - 2015 Apr 30
TA  - The Journal of Portfolio Management
PG  - 109--116
VI  - 41
IP  - 3
4099  - https://pm-research.com/content/41/3/109.short
4100  - https://pm-research.com/content/41/3/109.full
AB  - Tail dependence is a crucial element in assessing downside risk of industry portfolios. The authors measure tail dependence in the 48 industries by comparing comovements in extreme negative returns within these industries. The industries that score highest are banking, petroleum and natural gas, utilities, financial trading, and insurance. All other industries score significantly lower. The authors identify a large market beta, a large market cap, and low volatility as significant determinants of the tail dependence. In addition, tail dependence in one year is an important indicator for tail dependence in the next year.TOPICS: Tail risks, risk management