Abstract As the companies have grown larger, the salmon farming industry has received increased attention from investors, financial analysts and other representatives of the financial community. Still, little is known about the risk and return characteristics of salmon farming companies’ shares. This paper approaches this topic by applying quantile regression to investigate the relationship between risk factors and monthly stock price returns over the entire return distribution at both industry and firm level. The results show that the overall market return, changes in the salmon price and the lagged returns for the major company in the industry have a positive impact on company stock price returns. The risk factor sensitivities are quite stable across quantiles at industry-level, there are substantial differences at the firm level, but formal testing cannot reject the hypothesis that the quantiles are equal. This implies that the relationship between risk factors and stock returns may vary under different return levels reflected in the salmon price cycles. We show how the results can be implemented and applied in a Value-at-Risk analysis.

中文翻译：

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对鲑鱼养殖公司的回报分布建模：分位数回归方法

摘要 随着公司规模的扩大，鲑鱼养殖业越来越受到投资者、金融分析师和其他金融界代表的关注。尽管如此，人们对鲑鱼养殖公司股票的风险和回报特征知之甚少。本文通过应用分位数回归来研究风险因素与在行业和公司层面的整个回报分布中的月度股票价格回报之间的关系来接近这个主题。结果表明，整体市场回报、鲑鱼价格的变化以及行业内主要公司的滞后回报对公司股价回报有正向影响。风险因素敏感性在行业层面跨分位数相当稳定，在公司层面存在显着差异，但正式测试不能拒绝分位数相等的假设。这意味着在鲑鱼价格周期中反映的不同回报水平下，风险因素和股票回报之间的关系可能会有所不同。我们展示了如何在风险价值分析中实施和应用结果。