| Summary: | 碩士 === 國立中央大學 === 財務金融學系 === 107 === Though diversified investments are important to eliminate specific risks, a careful study of individual investors or portfolios of retail investors can be found that these investors often do not achieve diversified investments. Bali, Nurset & Robert (2014) paper, introduced a new hybrid indicator of the risk of the total variance of stock returns at the end of the stock. The motivation is that the portfolio of individual investors holds the diversification of the portfolio and studies its cross-sectional prediction ability. In Taiwan, the proportion of retail investors is higher than that of the United States, so we want to establish a similar hybrid tail risk indicator to test whether the risk of this hybrid tail is still valid in the Taiwan market. This co-variation is measured by the left-tail state of the distribution of individual stock returns. Instead of standard market risk measures, market rewards are used as criteria. We find a positive correlation between hybrid tail covariance risk (H-TCR) and expected stock returns, and annualized compensation is about 10%, which is higher than the compensation of the US stock market, while individual stocks have unique risks or system tail risks. The results of the variables are not significant or even negative. Finally, we construct a regression model and conduct multiple robustness tests. The results still show that the hybrid tail risk of can generate excessive rewards.
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