The Risk of Individual Stocks’ Tail Dependence with the Market and Its Effect on Stock Returns

Table 4

Returns, tail dependence, and other factors. Portfolios are formed monthly. In each month, the stocks are classified into three quintiles based on the preceding month’s value of a risk factor, and then each quintile is subdivided into three portfolios according to preranking TDCs. The full-period portfolio tail dependence coefficients and the time-series averages of other characteristics are presented in this table. RETURN here is the average of postranking monthly portfolios returns, and all other variables are defined as in Table 2. From 1 to 3, the corresponding variables are increasing.

Ranking by:
	TDC	RETURN	TDC	BETA	DBETA	SIZE	BTM	LEV	E/P	ASQT	TURN	MTM	VOL
Panel A:
1	1	−0.464	0.556	0.304	0.864	2.749	0.461	0.506	0.031	0.272	17.127	0.716	5.631
1	2	−0.372	0.772	0.325	1.022	1.245	0.439	0.626	0.018	0.358	22.604	0.369	6.286
1	3	−0.177	0.780	0.339	1.018	0.719	0.434	0.741	0.009	0.445	26.037	0.149	6.675
2	1	−0.271	0.695	0.485	1.042	2.108	0.542	0.524	0.028	0.287	16.731	0.289	5.007
2	2	−0.284	0.787	0.494	1.089	1.210	0.542	0.520	0.018	0.338	20.431	0.112	5.351
2	3	−0.230	0.812	0.494	1.143	0.746	0.505	0.678	0.008	0.423	23.093	0.011	5.625
3	1	−0.052	0.670	0.712	0.940	2.108	0.616	0.463	0.028	0.283	15.255	0.135	4.073
3	2	−0.022	0.791	0.664	1.018	1.224	0.613	0.510	0.021	0.339	18.134	0.032	4.426
3	3	0.019	0.793	0.656	1.047	0.855	0.574	0.532	0.014	0.397	20.461	0.010	4.623
Panel B:
1	1	−0.361	0.550	0.474	0.251	2.260	0.488	0.533	0.029	0.295	16.643	0.480	4.946
1	2	−0.233	0.758	0.475	0.254	1.202	0.525	0.564	0.018	0.343	20.568	0.213	5.204
1	3	−0.158	0.786	0.504	0.351	0.828	0.516	0.596	0.011	0.395	23.270	0.090	5.319
2	1	−0.252	0.573	0.492	1.020	2.275	0.541	0.483	0.028	0.289	16.847	0.377	4.980
2	2	−0.263	0.763	0.544	1.026	1.267	0.561	0.521	0.018	0.350	19.224	0.104	5.116
2	3	−0.138	0.787	0.561	1.035	0.819	0.530	0.694	0.011	0.423	21.233	0.000	5.240
3	1	−0.275	0.589	0.429	1.793	2.224	0.528	0.499	0.027	0.284	18.263	0.332	5.611
3	2	−0.107	0.763	0.480	1.742	1.245	0.522	0.593	0.019	0.346	20.806	0.177	5.632
3	3	−0.068	0.785	0.509	1.717	0.817	0.512	0.624	0.012	0.420	23.103	0.060	5.678
Panel C:
1	1	−0.106	0.783	0.418	0.950	0.436	0.436	0.710	0.020	0.510	23.441	0.106	5.799
1	2	−0.080	0.803	0.484	1.019	0.411	0.467	0.638	0.010	0.491	23.211	−0.007	5.599
1	3	−0.022	0.794	0.504	1.073	0.408	0.482	0.769	0.007	0.489	25.544	−0.070	5.591
2	1	−0.310	0.741	0.508	0.973	1.019	0.499	0.506	0.024	0.330	18.328	0.315	5.100
2	2	−0.168	0.798	0.520	1.063	0.985	0.548	0.528	0.018	0.321	20.432	0.150	5.270
2	3	−0.209	0.783	0.561	1.085	0.914	0.577	0.543	0.013	0.337	20.233	0.090	5.198
3	1	−0.420	0.341	0.438	0.933	3.690	0.543	0.458	0.034	0.202	14.447	0.561	4.868
3	2	−0.254	0.654	0.491	1.016	2.805	0.568	0.460	0.026	0.215	16.493	0.422	5.084
3	3	−0.279	0.727	0.542	1.105	2.242	0.606	0.506	0.022	0.241	18.339	0.306	5.240
Panel D:
1	1	−0.478	0.593	0.426	0.832	2.220	0.310	0.498	0.023	0.318	16.670	0.697	5.423
1	2	−0.384	0.788	0.426	1.044	1.033	0.311	0.637	0.013	0.380	21.230	0.351	5.859
1	3	−0.356	0.791	0.469	1.085	0.751	0.311	0.802	0.008	0.461	23.689	0.182	5.852
2	1	−0.325	0.698	0.451	1.027	2.360	0.514	0.500	0.030	0.282	17.711	0.331	5.078
2	2	−0.195	0.801	0.502	1.061	1.143	0.520	0.522	0.019	0.348	21.009	0.149	5.292
2	3	−0.117	0.804	0.534	1.092	0.857	0.513	0.556	0.012	0.415	22.214	0.030	5.374
3	1	−0.070	0.639	0.530	1.017	2.351	0.759	0.511	0.033	0.258	16.876	0.173	4.827
3	2	0.014	0.769	0.557	0.995	1.358	0.751	0.530	0.023	0.311	19.149	−0.009	4.969
3	3	0.051	0.785	0.576	1.029	0.856	0.740	0.552	0.013	0.371	21.449	−0.068	5.044
Panel E:
1	1	−0.258	0.598	0.459	0.978	2.841	0.486	0.298	0.030	0.258	16.370	0.385	5.052
1	2	−0.181	0.781	0.523	0.992	1.344	0.507	0.301	0.021	0.308	19.275	0.191	5.129
1	3	−0.092	0.820	0.558	1.038	0.929	0.495	0.308	0.013	0.367	20.951	0.119	5.195
2	1	−0.270	0.659	0.509	0.953	2.386	0.535	0.515	0.027	0.275	15.575	0.437	4.962
2	2	−0.183	0.777	0.509	1.011	1.308	0.558	0.515	0.019	0.326	20.216	0.187	5.276
2	3	−0.117	0.791	0.537	1.122	0.859	0.528	0.517	0.012	0.390	22.971	0.108	5.419
3	1	−0.394	0.689	0.424	0.967	1.654	0.543	0.786	0.028	0.344	19.394	0.381	5.390
3	2	−0.219	0.797	0.462	1.066	0.947	0.544	0.855	0.016	0.404	21.695	0.093	5.690
3	3	−0.152	0.793	0.492	1.061	0.667	0.528	0.998	0.008	0.471	23.534	−0.067	5.603
Panel F:
1	1	−0.755	0.767	0.402	0.979	1.105	0.456	0.673	0.004	0.387	21.240	0.080	5.827
1	2	−0.537	0.805	0.474	1.054	0.773	0.486	0.680	0.003	0.426	22.219	−0.060	5.745
1	3	−0.346	0.782	0.494	1.092	0.623	0.492	0.785	0.002	0.456	24.707	−0.098	5.696
2	1	−0.515	0.690	0.461	1.000	2.234	0.487	0.475	0.016	0.281	16.677	0.376	5.159
2	2	−0.244	0.791	0.503	1.045	1.185	0.532	0.498	0.015	0.338	20.602	0.240	5.341
2	3	0.070	0.807	0.546	1.053	0.949	0.533	0.513	0.014	0.381	21.587	0.200	5.252
3	1	0.040	0.383	0.491	0.912	2.974	0.555	0.479	0.046	0.251	15.906	0.544	4.873
3	2	0.094	0.659	0.526	0.997	1.826	0.586	0.493	0.039	0.289	17.427	0.347	4.873
3	3	0.362	0.722	0.575	1.062	1.208	0.595	0.511	0.036	0.337	19.842	0.214	4.949
Panel G:
1	1	−0.456	0.399	0.470	0.937	3.844	0.540	0.462	0.034	0.182	16.908	0.592	4.962
1	2	−0.380	0.689	0.475	1.007	2.398	0.548	0.485	0.024	0.204	21.216	0.449	5.219
1	3	−0.538	0.755	0.499	1.102	1.742	0.551	0.541	0.018	0.234	24.719	0.303	5.435
2	1	−0.251	0.738	0.483	1.002	1.363	0.532	0.485	0.026	0.313	16.565	0.240	5.091
2	2	−0.258	0.792	0.523	1.064	1.006	0.568	0.512	0.018	0.320	19.841	0.096	5.271
2	3	−0.189	0.795	0.545	1.075	0.819	0.556	0.544	0.012	0.341	22.238	0.077	5.312
3	1	0.020	0.762	0.451	0.936	0.726	0.455	0.659	0.021	0.527	16.471	0.138	5.440
3	2	0.018	0.817	0.505	0.989	0.550	0.486	0.637	0.012	0.498	19.647	0.014	5.479
3	3	0.153	0.786	0.512	1.090	0.441	0.486	0.786	0.008	0.522	22.715	−0.073	5.534
Panel H:
1	1	−0.164	0.539	0.478	0.880	2.828	0.531	0.497	0.029	0.334	10.220	0.370	4.748
1	2	0.079	0.755	0.543	1.001	1.617	0.560	0.546	0.022	0.382	12.110	0.167	4.976
1	3	0.343	0.777	0.569	1.021	1.111	0.563	0.564	0.014	0.445	13.950	0.043	5.113
2	1	−0.052	0.682	0.455	0.973	2.128	0.533	0.494	0.028	0.262	17.482	0.417	5.189
2	2	−0.073	0.806	0.505	1.026	1.128	0.544	0.547	0.019	0.347	18.883	0.136	5.325
2	3	0.034	0.812	0.536	1.089	0.816	0.523	0.643	0.011	0.426	20.068	0.001	5.355
3	1	−0.776	0.689	0.455	1.032	1.617	0.492	0.524	0.027	0.245	28.108	0.429	5.563
3	2	−0.703	0.782	0.449	1.058	0.966	0.495	0.589	0.015	0.319	28.936	0.202	5.725
3	3	−0.533	0.776	0.481	1.102	0.685	0.481	0.704	0.009	0.391	30.206	0.066	5.718
Panel I:
1	1	−0.133	0.740	0.470	1.093	1.643	0.567	0.599	0.023	0.353	18.367	−0.497	5.226
1	2	0.098	0.789	0.477	1.089	0.981	0.575	0.621	0.014	0.389	19.835	−0.467	5.245
1	3	0.095	0.796	0.499	1.134	0.696	0.555	0.766	0.008	0.466	22.233	−0.453	5.416
2	1	−0.222	0.721	0.484	0.961	2.049	0.564	0.507	0.027	0.317	17.089	0.170	5.023
2	2	−0.156	0.803	0.526	0.988	1.115	0.551	0.506	0.018	0.347	20.155	0.176	5.144
2	3	−0.116	0.790	0.545	1.052	0.796	0.524	0.575	0.012	0.400	22.315	0.169	5.235
3	1	−0.352	0.388	0.448	0.837	2.801	0.462	0.490	0.032	0.240	16.197	1.062	5.227
3	2	−0.534	0.684	0.502	0.981	1.695	0.461	0.504	0.023	0.285	20.143	0.911	5.519
3	3	−0.555	0.742	0.512	1.042	1.171	0.465	0.537	0.018	0.347	23.587	0.761	5.684
Panel J:
1	1	−0.187	0.493	0.473	0.780	2.684	0.536	0.476	0.032	0.271	14.607	0.346	3.977
1	2	0.004	0.757	0.519	0.862	1.403	0.593	0.481	0.025	0.322	17.705	0.159	4.093
1	3	0.085	0.787	0.521	0.912	0.952	0.592	0.512	0.018	0.377	19.646	0.043	4.239
2	1	−0.211	0.703	0.485	1.042	2.216	0.540	0.511	0.029	0.290	16.998	0.359	5.116
2	2	−0.243	0.798	0.517	1.032	1.223	0.565	0.527	0.017	0.337	20.160	0.120	5.129
2	3	−0.145	0.792	0.538	1.059	0.834	0.533	0.613	0.011	0.401	22.383	0.059	5.149
3	1	−0.632	0.723	0.468	1.196	1.892	0.463	0.559	0.021	0.309	20.695	0.431	6.701
3	2	−0.288	0.793	0.464	1.128	0.948	0.446	0.676	0.014	0.379	23.106	0.227	6.691
3	3	−0.249	0.799	0.483	1.176	0.788	0.456	0.746	0.008	0.457	24.647	0.083	6.597