TY - JOUR T1 - Tail Dependence: <em>A Cross-Industry Comparison</em> JF - The Journal of Portfolio Management SP - 109 LP - 116 DO - 10.3905/jpm.2015.41.3.109 VL - 41 IS - 3 AU - Sander Muns AU - Michiel Bijlsma Y1 - 2015/04/30 UR - https://pm-research.com/content/41/3/109.abstract N2 - 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 ER -