학회소식
[2019년 제 3차] A Dual Volatility Moderated Mediation Process of the Tail Risk Hedgers
작성자 : 관리자
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게시일 :
2019-08-29
We propose a second stage dual moderated mediation approach of the time-varying risky-asset exposure management process of tail risk hedging managers that is estimable from the time-series of portfolio returns. For example, the mediation of one-month prior excess market returns (MKTt-1)
on the effect on the trend-following
returns of one-month prior short-term interest rate futures
(PTFSIRt-1) on the current performance of tail-risk hedging funds through one-month prior implied volatility index level (LNVIXt-1) as the first moderator is moderated if the indirect effect of (PTFSIRt-1) depends on the quadratic returns of one-month prior VIX(DVIX2t-1) as the second moderator. This paper advances the literature by applying the cross-sectional research approaches of Quantitative Psychology to financial time-series through inferences about the conditional process models with more than one moderator variable. Consistent with our view that different styles of tail-risk hedgers exhibit varying skills in exploiting the information content of implied equity volatilities, we document substantial heterogeneity of processing MKTt-1 information through dynamically leveraging or deleveraging their risk exposures across different styles of tail-risk hedgers. We subsequently test if an indirect effect of (PTFSIRt-1) on the returns of various tail-risk hedgers is moderated either through their mean-reversion or momentum trades. (JEL G11, G12, G17)
