哪里有提到？extreme tail risk

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NO.PZ202207040100000505

问题如下：

Which of the following is best described as a major drawback of using Thompson’s approach? It is subject to:

选项：

A.a value trap. B.a growth trap. C.extreme tail risk.

解释：

Solution

C is correct. The use of the rewarded factor price momentum is subject to extreme tail risk.

A is incorrect. The value trap refers to the appearance of a cheap value and is not associated with price momentum.

B is incorrect. The growth trap refers to stocks that appear to have continuing growth in earnings, not price.

哪里有提到The use of the rewarded factor price momentum is subject to extreme tail risk.

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笛子_品职助教 · 2024年03月24日

嗨，从没放弃的小努力你好：

Hello，亲爱的同学~

这里需要了解一个知识点。

在使用动量因子的时候，投资者会投资于过去强势的股票，并认为过去强势的股票，未来会继续走强。

而统计学里的极端尾部风险，指的就是一只股票一直涨，或一直跌。

结合本题，本题的投资者使用了动量因子，就是希望个股能一直涨，一直涨，呈现出极端的尾部风险。

同学只要看到：price momentum，就要联系到extreme tail risk。

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加油吧，让我们一起遇见更好的自己！

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哪里有提到？extreme tail risk

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