Using regular variation to define heavy tailed distributions, we show that prominent downside risk measures produce … similar and consistent ranking of heavy tailed risk. Thus regardless of the particular risk measure being used, assets will be …

even after controlling for investment, size, book-to-market and momentum as well as other known predictors of stock returns … forward looking in nature and thus informative about the firms’ expectations about future cash-flows and risk …-adjusted discount rates. The model implies that the investment rate and the hiring rate predicts stock returns because these variables …