关键词: 分位数因子分析, 尾部风险, 系统风险, 股市收益率

Abstract: This paper extracts common components in quantiles of stock market returns using a high-dimensional factor model to evaluate the tail systematic risk. It investigates the macro sources of the tail systematic risk by using regularized regressions and explores the effects of firm characteristics on the heterogeneity of the sensitivity of the tail systematic risk to macro risk factors via cross sectional regressions. The results show that the upside and downside tail systematic risks are asymmetric. The upside risk is more related to the increase in market uncertainty, has a higher volatility and a more complex relation with macro risk factors compared to downside risk. The asymmetry becomes more significant when the quantiles move to tails. Firm characteristics do have an explanatory power on the heterogeneity of the sensitivity of the tail systematic risk to macro risk factors, with the firm size, the debt asset ratio, and the self-sustainable growth rate being the most influential characteristics.

Key words: quantile factor analysis, tail risk, systematic risk, stock market return